We face the largest risk of getting a spurious result when:
A) Regressing a variable with a unit root against a variable without a unit root.
B) Regressing a variable with a unit root against a variable with a unit root.
C) Regressing a variable with $\gamma$$\lt$1
D) When errors are autocorrelated.

Question

Quizplus · Accepted Answer

Regressing a variable with a unit root against another variable with a unit root can lead to spurious regression results because both variables are non-stationary, and their apparent relationship may actually be due to their common trend rather than a genuine correlation.

We Face the Largest Risk of Getting a Spurious Result γ\gammaγ

We Face the Largest Risk of Getting a Spurious Result $\gamma$