(a) Consider the linear regression model 53ft = E + "Wt1 + at1 + Er ("l where the error term e; is assumed to be independently and iden- tically...

If I have a particular linear regression model, how the value of  is related to the question whether the process  has a unit root?

(a) Consider the linear regression model53ft = E + “Wt—1 + fiat—1 + Er (“l where the error term e; is assumed to be independently and iden-tically distributed with zero mean and variance 02. Explain howthe value of the parameter qr in this model is related to the questionwhether the process 3;; has a unit root.