When the exogeneous variable is an integrated process, standard procedures
are not valid (spurious regression).
However, if you consider the exogeneous variable as determined (non
stochastic), regression procedures work again.
My interpretation is that regression procedures are always valid since
nothing can prevent you from considering the variables as fixed. But that it
is shown that in the very special case where the exogeneous variable is
*truly* generated by an integrated process (if such thing can exist) it
won't work.
So you should consider for this possibility, but the theoretical
justification of the regression remain valid in a certain way. With a little
bad will, you could then still apply standard procedures. And it should be
able to work (which doesn't mean it will always nor very well).
Did I miss something please ?
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