In this problem, we repeat the analysis in "Spurious Regressions...". Simulate two independent
random walks X and Y with two hundred observations
a. Test X and Y for stationarity. Which form is correct here?
b. Regress Y on X, store the p value from a test of significance. Repeat this process 100
times. What are the distribution of p values you recover?
c. Now difference both X and Y and repeat part A and B.