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.
Answer: D
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