Consider the real money ( lrm1 ) and real income
( lny ) time series from the urca package. Both time series are integrated of
order 1.

Use a classical linear regression model and the Augmented Dickey-Fuller Unit Root (ADF) test via the ur.df
function to determine whether there is a cointegration
relationship between these two time series. library(urca)
data(finland)
lm(lny ~ lrm1, data = finland)

Question

Consider the real money ( lrm1 ) and real income
( lny ) time series from the  urca  package. Both time series are integrated of
order 1.

Use a classical linear regression model and the Augmented Dickey-Fuller Unit Root (ADF) test via the  ur.df 
function to determine whether there is a  cointegration
relationship  between these two time series. library(urca) 
 data(finland) 
 lm(lny ~ lrm1, data = finland)

Accepted Answer

Yes, a cointegration relationship is found
when a 1% significance level is used for the ADF test.

Answer

No cointegration relationship is found even
when a 10% significance level is used.

Answer

Yes, a
cointegration relationship is found when a 10% significance level is used for
the ADF test. However, no cointegration relationship is found using the 5%
level.

Answer

Yes, a
cointegration relationship is found when a 5% significance level is used for
the ADF test. However, no cointegration relationship is found using the 1%
level.

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Consider the real money ( lrm1 ) and real income ( lny ) time series from the ...

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