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st: panel unit roots and cointegration
From
"Terzopoulou, Eleftheria" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: panel unit roots and cointegration
Date
Mon, 13 Jun 2011 16:51:17 +0100
Hello!!
I would like to ask regarding unit roots in panels. I found that the dependent variable is I(0) and the independent I(1) but after demeaning and including time trend are I(0). Thus, now I want to run FE and RE. In order to not have spurious results how I have to tranform my variables? first differences? Also how can I test for cointegration in panels? Hint: one of the explanatory variables are the square term of the other.
Thank you in advance
Elli
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