The article also does something I have tried to get an explanation of for a very long time without success They difference some variables and not others (so the integration - the order- of the variables will not be the same). I know you can do that with ARIMA, but some accounts I have seen of regression suggest this is invalid with regression. That is they say the variables all have to be integrated of the same order.

http://www.ofm.wa.gov/budget/info/Nov10transpofuelconsumptionsummary.pdf