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st: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?
From
sabbas gidarokostas <[email protected]>
To
statalist <[email protected]>
Subject
st: can Arellano-Bover estimator be used when some regressors or the dependent variable contain a unit root?
Date
Tue, 19 Jun 2012 01:02:09 +0100
Dear all,
I have a dynamic panel regression with fixed effects and using the
xtunitroot iip i found that some variables contain unit root. Is is
still valid to use Arellano-Bover estimator?
I think yes because we take the first difference. Am i right?
cheers
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