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An analyst estimates a simple linear regression of a time series yty_tyt on another time series xtx_txt. In which of the following situations could the estimates of the regression test statistics be valid?
A
Both the dependent variable yty_tyt and the independent variable xtx_txt have a unit root.
B
The dependent variable yty_tyt has a unit root, but the independent variable xtx_txt does not.
