Non stationary dependence variables in panel data?

05 October 2021 1 8K Report

Hello everyone,

Currently I am doing an research of factors affecting exports by using OLS,FEM or REM with N=12 and T=20. When I did an unit root test, it turned out that all independent variables are stationary but for dependent variable. Futhermore, dependent variable was stationary at I(1).

Could I use the data at the level? My dependent variable have some missing values so is it good if I run the regression at I(1)? What should I do next?

I am really confused so please help me, thank you a lot.

Remal Al-Gounmeein

See these links:

https://www.statalist.org/forums/forum/general-stata-discussion/general/1563822-non-stationary-variable-in-panel-data

https://www.researchgate.net/post/Is-it-necessary-to-run-stationary-panel-unit-root-test-for-panel-data

https://www.researchgate.net/post/Which_model_in_panel_data_I_can_use_for_non-stationary_data

https://www.researchgate.net/post/How-can-I-solve-the-non-stationary-problem-in-panel-data-analysis

https://stats.stackexchange.com/questions/478172/what-should-i-do-about-a-non-stationary-variable-in-a-panel-data-interaction

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