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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