Question: a time series problem A multivariate process is defined by: Xn = 1.2X7-1 - 0.2X-2+ eln Yn = 0.6.Xn-1 + 62n where ein and em,

a time series problem A multivariate process is defined by: Xn

a time series problem

A multivariate process is defined by: Xn = 1.2X7-1 - 0.2X-2+ eln Yn = 0.6.Xn-1 + 62n where ein and em, are white noise processes. You believe that X, and Y,, may be cointegrated with cointegrating vector: 30 Show if this is true or not

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