Do I need stationnary variable to estimate a panel var with gmm ?

10 November 2022 1 8K Report

Hi !

I try to estimate a panel VAR model with GMM. Got 3 variables (exports, tarifs and gdp) for 14 sectors and 28 years.

My variables are I(1) and cointegrated. According to Greene and Schlacther (2005) or Sims (1980), it seems that I can't use first differences as it hides long-term relationship between variables.

Is that ok if I run the regression with non stationary variable ?

Chuck A Arize

Yes, you need to test for series stationarity in levels or first-differences for the system GMM to be preferred. You can use an AR (1) model (including year dummies) to test for the series persistence; which is very high (a>0.8), and want to test for series stationarity. You can also check this link for more information.

Badges
Science topic

More Léo Charles's questions See All

Do you think can be any Uranium bearing rocks in Eastern part of Iran and western part of Afghanistan?

I want to know more about Uranium ore deposits in world.

11 August 2024 6,720 0 View

Do you think can be any diamond bearing rocks in Eastern part of Iran and western part of Afghanistan?

I want to know more about diamond ore deposits in world.

11 August 2024 2,167 1 View

What is the difference between mathematical R^4 space and physical 4D unit space?

We assume that the difference is huge and that it is not possible to compare the two spaces. The R^4 mathematical space considers time as an external controller and the space itself is immobile in...

10 August 2024 6,678 14 View

If Banks do not provide credit facility, what are the options available for FPOs and impact on producer’s income?

10 August 2024 8,198 5 View

Controlling for pupil light reflex when analyzing pupil size time course?

I used eye tracking to examine how participants from two different populations (A and B) react to an image. Participants in population A exhibit larger pupil sizes over time, but they also have...

10 August 2024 3,229 0 View

What are a “Farmers Producer Organization” (FPO) and its essential features?

10 August 2024 477 5 View

Strugglling with m6A dot blot any suugesstion ?

I have been doing the m6A dot blot for a while with no improvement, I am extracting the RNA, and I can see the dots although the three biological replicas give a different reading on the memberan...

10 August 2024 8,539 5 View

Do interactions between biosphere, carbon cycle, & water cycle impact global warming & interaction between atmosphere & hydrosphere?

How do interactions between the biosphere, the carbon cycle, and the water cycle impact global warming and interaction between the atmosphere and the hydrosphere?

09 August 2024 3,291 2 View

How to get moment output in Abaqus Standart?

I have input a moment load in module load Abaqus, i put my moment load on the node surface (using reference point). I have define moment in history output and make a set for moment too. But the...

08 August 2024 4,831 4 View

How is energy cycled through the Earth's climate system and how do matter cycle and energy flow through the rock cycle?

08 August 2024 8,162 0 View

GC-MS retention index prediticon?

Hello experts, Does anyone know any free software about retention index prediction ?

08 August 2024 7,403 2 View

Is there an alternative to a multinomial regression which allows the DV to be non mutually exclusive?

I am trying to analyse data from a survey examining what variables affect teachers perceived barriers to incorporating technology into their classroom. I have 5 predictor variables however my DV...

06 August 2024 1,752 3 View

In order to run Multinomial Logistic Regression, is it required that the data be in the long format?

I am using unit level data (IHDS round 2) & Stata 17

06 August 2024 5,725 2 View

Why do we equate male and female arousal?

Women, on the other hand, can become physically aroused (increased blood flow in the reproductive organs) without becoming psychologically aroused even in the slightest. (Robert Weiss)

05 August 2024 9,537 2 View

I need the datasets of Microgrid for system identification?

Hi I am working on data driven model of the microgrid, for that, i need the reliable datasets for the identification of MG data driven Model. Thanks

02 August 2024 5,748 4 View

Should I remove an item from a scale to raise Cronbach's alpha and McDonald's omega or is it better to leave it if they are both over .7 already?

Hello! I have this scale which had 10 items initially. I had to remove items 8 and 10 because they correlated negatively with the scale, and then I removed item 9 because Cronbach's alpha and...

01 August 2024 4,606 7 View

Talking therapies for bipolar, psychology?

what is the best research evidence for psychological interventions for Bipolar?

01 August 2024 6,023 2 View

Normality assumption for linear regression is The assumption of normality is whether for residual errors or predictor variavble?

When we conduct linear regression, there are several assumptions. The assumption of normality is whether the residual errors are normally distributed, not whether a predictor is normal?

31 July 2024 6,164 3 View

What are some diseases that are caused by overactivity of enzymes?

I want to choose a resarch topic regarding enzyme inhibition. So I did my research and found out most of the diseases that originate from enzymes were actually caused by the "deficiency" of...

30 July 2024 2,483 5 View

Recruitment for Postpartum Mental Health Research?

We are currently recruiting for two studies on postpartum mental health as part of our work at the Perinatal Mental Health Research Lab at Alliant International University. If you or someone you...

30 July 2024 2,950 0 View