Multiple time series regression: non-stationary variables

Hello @gabrielfos and welcome to RStudio Community :partying_face: :partying_face: :partying_face: :partying_face: :partying_face: :partying_face: :partying_face: :partying_face: :partying_face:

What you are asking is fairly simple to do in R; however, whenever you ask a data-related question, you should consider providing a reproducible example. I encourage you to read this to learn more about it:

It would definitely help if you could send us a data sample that we could use to help you. You could upload it somewhere and provide a download link?

Finally, when it comes to time series, you cannot run a simple regression with nonstationary series. If you do, the results will be spurious, which means that they will not be reliable for inference. So, the first thing to do is to difference your data in order to make it stationary before running the regression. I can show you how if you provide some data.