n = 100000
y = x = 0

for(i in 2:n){
y[i] = y[i - 1] + rnorm(1)
x[i] = x[i - 1] + rnorm(1)
}

plot(y, type = "l", col = "red",ylim = c(min(x,y),max(x,y)))
points(x, type = "l", col = "blue")
summary(lm(y ~ x))

#Now, "first difference" the data:
#yd = y[2:n] - y[1:n-1]
#xd = x[2:n] - x[1:n-1]
#plot(yd, type = "l", col = "red",ylim = c(min(xd,yd),max(xd,yd)))
#points(xd, type = "l", col = "blue")
#summary(lm(yd ~ xd))