Suppose that yt and zt are 1(1) series, but yt zt is 1(0) for some 0 Show that for any , yt zt must be 1(1) ...

For d b y t d z t y t b z t b d z t which ...

Suppose that {yt} and {zt} are 1(1) series, but yt - zt is 1(0) for some

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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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Introductory Econometrics A Modern Approach

ISBN: 978-0324660548

4th edition

Authors: Jeffrey M. Wooldridge

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Question Posted: Apr 21, 2016 05:03 AM

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Suppose that {yt} and {zt} are 1(1) series, but yt - zt is 1(0) for some

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