Problemgenerate a time series from an iid gaussian random, Ask an Expert

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Problem

Generate a time series from an IID Gaussian random process. This is a memoryless, stationary series:

(a) Compute the ADF statistic on this series. What is the p-value?

(b) Compute the cumulative sum of the observations. This is a non-stationary series without memory.

(i) What is the order of integration of this cumulative series?

(ii) Compute the ADF statistic on this series. What is the p-value?

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