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Question Two + HE A. Outline step-by-step, the Johansen's methodology for testing for cointegration between a set of variables in the context of a VAR. [Marks 40] B. A researcher uses the Johansen procedure and obtains the following test statistics (and critical values) D WNHO Amax, 95% Critical value 38.962 33.178 29.148 27.169 16.304 20.278 8.861 14.036 1.994 3.962 Determine the number of cointegrating vectors. [Marks 20] C. "If two series are cointegrated, it is not possible to make inferences regarding the cointegrating relationship using the Engle-Granger technique since the residuals from the cointegrating regression are likely to be autocorrelated." How does Johansen circumvent this problem to test hypotheses about the cointegrating relationship? [Marks 20] D. Compare the Johansen maximal eigenvalue test with the test based on the trace statistic. State clearly the null and alternative hypotheses in each case. [Marks 20]