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. Suppose Xt, Yt and Wt are all I(1) scalar series. a) If Xt and Yt are cointegrated and Wt and Xt are also cointegrated, then are Yt and Wt

It is a very hard question and needed help with detailed steps. help me please5.png

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. Suppose Xt, Yt and Wt are all I(1) scalar series.
a) If Xt and Yt are cointegrated and Wt and Xt are also cointegrated, then are Yt
and Wt necessarily cointegrated?
b) Suppose that Xt, Yt and Wt are cointegrated. Are Xt and Yt necessarily cointe-
grated?
(Potentially useful facts: al(0) + b/(0) = I(0), al(1) + b/(0) = I(1), a + 0, and
al(1) + bl(1) = I(1) unless (a, b) is a cointegrating vector that removes the common
stochastic trend.)

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