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st: ipshin and serial correlation
I am using the ‘ipshin’ procedure to test for unit
roots in panel data (28 firms over 14 time periods)
for variables such as log of output, log of labour
However, I am not very clear on how to specify lags.
For instance, testing for I(1) in the case of no
serial correlation (constant, no trend):
in order to estimate equation dy(i,t) = a(i) +
b(i)*y(i,t-1) + e(i,t) – where dy(i,t) is y(i,t) –
y(i, t-1) - shall I specify lag = 0?
Also, I am not sure whether my sample size is
sufficient for the case of serially correlated errors.
I would be very grateful if you could please help me.
Many thanks in advance.
Department of Economics
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