For the relationship described by the linear regression yt= a Bxt u, where ut is an error term and a and ß are constant parameters, to test whether or not ut is stationary when B is unknown and needs to be estimated, we may apply the augmented Dickey-Fuller test to the residual me series from regressing yt on xt, and use a the Engle-Granger critical values. b. None of the listed answers is correct. c. the t-test critical values, d. the Dickey-Fuller critical values. e. the normal critical values.
a) the Engle-Granger critical values.
b) None of the listed answers is correct.
c) the t-test critical values.
d) the Dickey-Fuller critical values.
e) the normal critical values.