The Following Is Not a Consequence of X_t and Y_t

question 42

Multiple Choice

The following is not a consequence of X_t and Y_t being cointegrated:

• A)if X_t and Y_t are both I(1), then for some θ, Y_t - θ X_t is I(0).
• B)X_t and Y_t have the same stochastic trend.
• C)in the expression Y_t - θ X_t , θ is called the cointegrating coefficient.
• D)if X_t and Y_t are cointegrated then integrating one of the variables gives you the same result as integrating the other.

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