Introductory Econometrics 4th Edition by Jeffrey Wooldridge

تمرين 1

Use the data in HSEINV.RAW for this exercise.
(i) Test for a unit root in log(invpc), including a linear time trend and two lags of Alog(invpct). Use a 5% significance level.
(ii) Use the approach from part (i) to test for a unit root in log(price).
(iii) Given the outcomes in parts (i) and (ii), does it make sense to test for cointegration between log(invpc) and log(price)