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st: Panel data setup

From   Tingting Tong <[email protected]>
To   [email protected]
Subject   st: Panel data setup
Date   Fri, 2 Dec 2011 14:08:33 -0500

Hello statalist,

I posted a similar question before but got no answer. I searched
literatures for long time but I cannot find a answer.
I really need help since the due is coming.

I am studying the effect of public infrastructure on food
manufacturing industries in the United States.

I have input and output data for each industry, however, for the pubic
infrastructure data, it is the same for all the industries.

When I do unit root test, I need to do use time series method for my
public infrastructure variable; For the input and output variables,
i use panel unitroot test. When people challenge me when I do the
presentation, I am not sure how to answer them since I could not find
other people do the same way.

Does anyone can give me some literatures about using one data series
for all panels for some variables?

Also, I am not sure if this kind of data setup will affect my
cointegration test result.

I appreciate your time.
Thank you very much.

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