Under the multiple regression lecture, we assume that all the series are stationary at level
(that is, the order of integration of each of the series is zero, I(0))2. If we relax this assumption
and consequently allow for unit roots in the variables, how do we deal with such a scenario?
In general, this would require a different treatment from a conventional regression with
stationary variables at I(0), which has been covered so far.
30 March