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Re: st: unit-root tests: xt-fisher, Hadri, ipshin


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: unit-root tests: xt-fisher, Hadri, ipshin
Date   Wed, 4 Nov 2009 13:00:30 -0600

On Mon, Nov 2, 2009 at 5:50 PM, Carlos Rodriguez
<carlosrodriguez1993@gmail.com> wrote:
>> So, even if some panels have unit roots but not all, would it be
>>> fine if I run the regression in first-differences to address the issue
>>> of unit roots? Or is this not advisable when not all panels have unit
>>> roots.

I think so, but doesn't over differencing introduce create MA(1) series?

Scott
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