If two series have means that are not trending, a simple regression involving two independent I(1) series will often result in a significant _____ statistic.
A)F
B)t
C) z
D) χ2

Question

If two series have means that are not trending, a simple regression involving two independent I(1) series will often result in a significant _____ statistic.​
A)​F
B)​t
C) ​z
D) ​χ2

Quizplus · Accepted Answer

When two independent I(1) series are used in a simple regression, the resulting test statistic is usually a t-statistic. This is because the coefficients in the regression equation are estimated using OLS, which involves dividing by the standard error of the estimate, resulting in a t-distribution. If two series have means that are not trending, a simple regression involving two independent I(1) series will often result in a significant t statistic.u200b

If Two Series Have Means That Are Not Trending, a Simple