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st: nonstationarity in dynamic panels


From   Svenja Gärtner <Svenja.Gartner@econhist.gu.se>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: nonstationarity in dynamic panels
Date   Fri, 4 Nov 2011 10:46:26 +0100

Dear Listers,

I have a panel (n=3, t=30) inlcuding the gender wage gap, economic variables (like unemployment, public spending) and dummies.
The wage gap is the dependent variable and is auto-correlated. I wanted to use a dynamic panel approach to include lags of the dependent variable and control for endogenity.
But I see the following problems:
 - most approaches are set up for large N, small T; I have small N, large T (like -xtabond-)
 - the dependent variable is non-stationary as well as some regressors, but not integrated of the same order ( so I cannot do a VEC for each cross-section)

Do you have any suggestions how to deal with such a panel?

Your help is very much appreciated.
Thanks,
Svenja




________________________________

Svenja Gärtner
PhD Student
Department of Economic History
School of Business, Economics and Law
University of Gothenburg
+46 (0)31 - 7864443
svenja.gartner@econhist.gu.se
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