Question: Suppose that {yt} and {zt} are 1(1) series, but yt - zt is 1(0) for some 0. Show that for any

Suppose that {yt} and {zt} are 1(1) series, but yt - βzt is 1(0) for some β ≠ 0. Show that for any δ ≠ β, yt - δzt must be 1(1).

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