Which of the Following Are Consequences of Using Non-Stationary Data

question 17

Multiple Choice

Which of the following are consequences of using non-stationary data in regressions?
(I) Shocks will be persistent
(II) It can lead to spurious regressions
(III) t-ratios will not follow a t-distribution
(IV) F-Statistic will not follow an F-distribution

• A) I only
• B) I and II only
• C) I, II and III only
• D) I, II, III and IV

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