unit root是什么？

问题如下：

Suppose we want to predict the annualized return of the five-year T-bill using the annualized return of the three-month T-bill with monthly observations from January 1993 to December 2002. Our analysis produces the data shown in Exhibit 1.

Can we rely on the regression model in Exhibit 1 to produce meaningful predictions?

Specify what problem might be a concern with this regression.

解释：

To determine whether we can use linear regression to model more than one time series, we should first determine whether any of the time series has a unit root. If none of the time series has a unit root, then we can safely use linear regression to test the relations between the two time series. Note that if one of the two variables has a unit root, then our analysis would not provide valid results; if both of the variables have unit roots, then we would need to evaluate whether the variables are cointegrated.