Hi! I want to mix stationary and non stationary panel data in an error correction and for cointegration. In a non-panel data setting, this is done with ARDL ECM, where a significant EC and long-run coefficient indicate cointegration, and where a bounds test can confirm this. Now, in a panel setting, is the corresponding ARDL ECM with PMG (Pesaran et al. 1998) valid? To test for cointegarion, I can use the Westerlund test in the depvar is non-stationary but indepvars are statioary, right?
Hi my dear
The following link is very important for your problem
https://youtu.be/mTa7n1KY9iQ
Thanks! However, Eviews does not have the Westerlund test. And Stata requires no gaps in the panel, which does not work in my case.
In order to explain the accuracy of the measurement results, the standard rassurement error helps to obtain concrete and directly able information about the stability of the results obtained from the measurement tools.
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