Question: Show that the two processes X and Y, defined Xt = 0.65X-1 +0.35Yt-1 + ext Xt = 0.35X-1 +0.65Yt-1 + ext are co-integrated with co-integrating

Show that the two processes X and Y, defined Xt =

Show that the two processes X and Y, defined Xt = 0.65X-1 +0.35Yt-1 + ext Xt = 0.35X-1 +0.65Yt-1 + ext are co-integrated with co-integrating vector (1,-1)

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