Consider the following vector error correction (VECM) model: Dyt = Pyt-5 + G1Dyt-1 + G2Dyt-2+ G3Dyt-3 + G4Dyt-4 + ut where yt is a k' 1 vector of variables, and ut is a k' 1 vector of disturbances. Which of the following statements is true of the VECM? (a) Johansen's test for cointegration centres on the rank of the matrix G1 (b) If the variables yt are cointegrated, P will be of full rank (c) If the rank of P is zero, the variables are cointegrated (d) Provided that all of the series in y are non-stationary, the rank of P can be at most K-1