Question: Let {Xt} and {Yt} be time series such that Xt I(1) and Yt I(0). Then the linear regression Yt = 0 + 1Xt + t

Let {Xt} and {Yt} be time series such that Xt I(1) and Yt I(0). Then the linear regression Yt = 0 + 1Xt + t fails the classical assumptions.

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