Dear collegues,
I am considering to use the Dynamic Common Correlated Effects estimator developed in Chudik and Pesaran (2015). Here, it is a link to the paper.
https://www.sciencedirect.com/science/article/abs/pii/S0304407615000767
In the Introduction of that article, the authors mention that "Our focus is on stationary heterogenous panels with weakly exogenous regressors". I think they mean that in the paper, their focus is on the use of this estimator when the variables are stationary. However, I have always seen journal articles or working papers using this estimator when the variables are not stationary. Therefore, I would like to confirm that this estimator is valid when all variables are stationary. In addition, I really would like to get any suggestions of published articles where this estimator is used with stationary variables.
Very much thank you in advance,
Reynaldo
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