26 September 2019 0 4K Report

Hi! I an estimating a relationship between two variables among 13 countries. In some countries, the variables are stationary, and in some, they are non-stationary and cointegrated. For single-equation cointegration, it is common to estimate long-run coefficients with either DOLS or FMOLS. For the sake of comparability, can I use DOLS/FMOLS also for the countries where the variables are stationary - that is in a non-cointegration framework?

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