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linear regression of a non-stationary time series is usually inappropriate (eg see https://www.reed.edu/economics/parker/s11/312/notes/Notes12.pdf). above i have conducted the KPSS test for stationarity and the dfgls test for unit root on the lnmarketvalue series and we can see there is strong evidence to support that lnmarketvalue is non-stationary. a more appropriate model to build might be a vector error correction model (if there is a suitably cointegrated relationship).

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