Here is what I am trying to do
Generate a random walk and a stationary AR(1) series of length 200.
Generate Yt as one arbitrary non-zero linear combination of the two series in (a) and Xt as another.
Perform tests to determine what is the integration order of Yt and Xt [I(0), I(1), I(2),...]
Test Yt and Xt for a cointegrating relationship.
Generate a random walk and a stationary AR(1) series of length 200.
Generate Yt as one arbitrary non-zero linear combination of the two series in (a) and Xt as another.
Perform tests to determine what is the integration order of Yt and Xt [I(0), I(1), I(2),...]
Test Yt and Xt for a cointegrating relationship.
