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st: Stationarity and xtivreg and xtivreg2


From   Fulbert TCHANA TCHANA <ftchanatchana@hotmail.com>
To   Statalist Stata <statalist@hsphsun2.harvard.edu>
Subject   st: Stationarity and xtivreg and xtivreg2
Date   Sat, 10 Jul 2010 18:52:09 +0100

Dear all,
I would like to know if in a panel data with large N (e.g 29 countries) small T (e.g. 12 years),the stationarity of variables is important for the consistency of xtivreg and xtivreg 2 results. More precisely, is there any possibility of spurious regression in this case if yes what can be the solution.
Thanks in advance,
Regards,
Ful. 		 	   		  
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