In this paper we consider the situation where the deterministiccomponents of the processes generating individual series are linear trendsand the individual series are independent I(0) or I(1) processes. We showthat when those time series are used in ordinary least squares regression,the...

In this paper we consider the situation where the deterministic components of the processes generating individual series are linear trends and the individual series are independent I(0) or I(1) processes. We show that when those time series are used in ordinary least square regression, the...