A regression of Yt onto current, past, and future values of Xt yields Yt = 3.0+...

 

Transcribed Image Text:

A regression of Yt onto current, past, and future values of Xt yields Yt = 3.0+ 1.7Xt+1+0.8Xt -0.2Xt-1+ut. (a) Rearrange the regression so that it has the form or Yt = Bo + 0xt+ S; AXt-j+ut. j=-p Yt - 0Xt = Bo + 3=-p 8jAxt-j+ut. What are the values of 0, 6-1, do, and d in this case? (b) (i) Suppose that X, is I (1) and ut is I (1). Are Y and X cointegrated? Explain. (ii) Suppose that Xt is I (0) and ut is I (1). Are Y and X cointegrated? Explain. (iii) Suppose that X, is I (1) and ut is I (0). Are Y and X cointegrated? Explainindo Go to Settings to act A regression of Yt onto current, past, and future values of Xt yields Yt = 3.0+ 1.7Xt+1+0.8Xt -0.2Xt-1+ut. (a) Rearrange the regression so that it has the form or Yt = Bo + 0xt+ S; AXt-j+ut. j=-p Yt - 0Xt = Bo + 3=-p 8jAxt-j+ut. What are the values of 0, 6-1, do, and d in this case? (b) (i) Suppose that X, is I (1) and ut is I (1). Are Y and X cointegrated? Explain. (ii) Suppose that Xt is I (0) and ut is I (1). Are Y and X cointegrated? Explain. (iii) Suppose that X, is I (1) and ut is I (0). Are Y and X cointegrated? Explainindo Go to Settings to act

Answer rating: 100% (QA)

a Rearranging the given regression equation to the desired form we have Yt 30 08 X... View the full answer