The following is not a consequence of Xt and Yt being cointegrated:
A)if Xt and Yt are both I(1),then for some θ,Yt - θ Xt is I(0).
B)Xt and Yt have the same stochastic trend.
C)in the expression Yt - θ Xt ,θ is called the cointegrating coefficient.
D)if Xt and Yt are cointegrated then integrating one of the variables gives you the same result as integrating the other.

Question

Quizplus · Accepted Answer

Integrating one of the variables gives a linear combination of the two variables that is stationary, but it may not necessarily be the same linear combination that results from integrating the other variable.

The Following Is Not a Consequence of Xt and Yt