I performed the Engle-Granger test on the U.S. logarithm of the consumer price index (LCPI) and...

    

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I performed the Engle-Granger test on the U.S. logarithm of the consumer price index (LCPI) and LGPRICE assuming that LCPI is 1(1). At the 5% significance level, what can you infer about the test result? [2] Series: LCPI LGPRICE Sample: 1969M12 2021 M08 Included observations: 621 Cointegrating equation deterministics: C Automatic lags specification based on Schwarz criterion (maxlag=18) Dependent tau-statistic Prob.* z-statistic LCPI LGPRICE Prob.* -1.367631 0.8103 -3.734399 0.8287 -1.777624 0.6415 -5.545364 0.6877 Given your findings in part (f), is gold a long-term hedge of inflation? Explain. [2] I proceed to study the short-run dynamic of the changes in gold price (ALGPRICE) and inflation (INF) and estimated a VAR model. Write down the VAR(1) model using the notation ALGPRICE and INF. [2] I performed the Engle-Granger test on the U.S. logarithm of the consumer price index (LCPI) and LGPRICE assuming that LCPI is 1(1). At the 5% significance level, what can you infer about the test result? [2] Series: LCPI LGPRICE Sample: 1969M12 2021 M08 Included observations: 621 Cointegrating equation deterministics: C Automatic lags specification based on Schwarz criterion (maxlag=18) Dependent tau-statistic Prob.* z-statistic LCPI LGPRICE Prob.* -1.367631 0.8103 -3.734399 0.8287 -1.777624 0.6415 -5.545364 0.6877 Given your findings in part (f), is gold a long-term hedge of inflation? Explain. [2] I proceed to study the short-run dynamic of the changes in gold price (ALGPRICE) and inflation (INF) and estimated a VAR model. Write down the VAR(1) model using the notation ALGPRICE and INF. [2]

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I performed the Eng le Gr anger test on the U S log ar ith m of the consumer price index LC PI and L... View the full answer