2 rather complicated doubts
On page 243 of schweser…besides the 5 possible results we obtain from testing whether 2 time series are covariance stationary, what if one of the series is nonstationary BUT the 2 series are co integrated…why cant linear regression be used in that case?
Also regarding mean reverting levels and unit roots…on page 230 (last paragraph) what if b1>1 then we would still have a finite mean reverting level in that case right? why cant the coefficient be greater than 1?
thanks