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st: panel unit roots and cointegration

From   "Terzopoulou, Eleftheria" <>
To   "" <>
Subject   st: panel unit roots and cointegration
Date   Mon, 13 Jun 2011 16:51:17 +0100


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
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