Question 1
Which condition on the autoregressive polynomial’s roots ensures that an AR(p) process is covariance stationary?
Question 2
Two nonstationary series $x_t$ and $y_t$ are said to be cointegrated if:
Question 3
In the Johansen trace test for cointegration, the null hypothesis for a given number $r$ of cointegrating vectors is:
Question 4
In the error correction model $\Delta y_t = \alpha (y_{t-1} - \beta x_{t-1}) + \gamma \Delta x_t + \varepsilon_t$, the parameter $\alpha$ measures:
Question 5
What is the null hypothesis of the KPSS test for stationarity?
