A researcher has a long span of annual Australian data on the ASX stock price index, denoted P , and on the ASX dividend index, denoted . Both series are I(1).The researcher estimates the regression: P = 0 + 1 + (i) The researcher decides to perform a Dickey-Fuller (DF) test on the estimated residuals from this regression. Write down the DF regression. (ii) The DF test statistic was found to be −3.112. At the 5% level, what do you conclude?