If linear regression is used to model the relationship between two time series, and a test shows that one of the two time series has a unit root, we should:

A. not use linear regression.
B. safely use linear regression if the time series are co-integrated.
C. not use linear regression if the time series are not co-integrated.

Correct Answer: A

In this case, the error term in the regression would not be covariance stationary. The linear regression should not be used.