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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 12
A regression of Y t onto current, past, and future values of X t , yields
a. Rearrange the regression so that it has the form shown in Equation (16.25). What are the values of , 1 , 0 , and 1
b. i. Suppose that X t is I (1) and u t is I (1). Are Y and X cointegrated
ii. Suppose that X t is I (0) and u t is I (1). Are Y and X cointegrated
iii. Suppose that X t is I (1) and u t is I (0). Are Y and X cointegrated
a. Rearrange the regression so that it has the form shown in Equation (16.25). What are the values of , 1 , 0 , and 1
b. i. Suppose that X t is I (1) and u t is I (1). Are Y and X cointegrated
ii. Suppose that X t is I (0) and u t is I (1). Are Y and X cointegrated
iii. Suppose that X t is I (1) and u t is I (0). Are Y and X cointegrated
Explanation
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a) The distributed lag (DL) model of Y h...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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