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Author Question: If Yt is I(2), then A) 2Yt is stationary. B) Yt has a unit autoregressive root. C) Yt is ... (Read 27 times)

panfilo

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on: Jun 29, 2018
If Yt is I(2), then
 
  A) 2Yt is stationary.
  B) Yt has a unit autoregressive root.
  C) Yt is stationary.
  D) Yt is stationary.

Question 2

The following is not a consequence of Xt and Yt being cointegrated:
 
  A) if Xt and Yt are both I(1), then for some , Yt   Xt is I(0).
  B) Xt and Yt have the same stochastic trend.
  C) in the expression Yt   Xt ,  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.


LegendaryAnswers

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Reply #1 on: Jun 29, 2018
Answer to Question 1

Answer: A

Answer to Question 2

Answer: D


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