I have a panel data set of T=26, N=20. The result from IPS unit root test indicated stationary of I(1) and also cointegrated. I discovered that for static model and when T>N, Seemingly unrelated regression is appropriate. Does this mean that i will not conduct fixed effect or random effect again?
Also, for dynamic model of T>N, what panel approach is most appropriate?
Dear Omowumi idowu-oladele,
The case when T>N, we have a variety of methods to be used such as Fully Modified Ordinary Least Squares (FMOLS), Dynamic OLS (DOLS), Panel VECM.
Best Wishes,
Use Pooled MeanGroup (PMG) estimator of Pesaran, Shin and Smith (PSS, 1999). This model takes the cointegration form of the simple ARDL model and adapts it for a panel setting by allowing the intercepts, short-run coefficients and cointegrating terms to differ across cross-sections.
Dear Omowumi idowu-oladele,
The case when T>N, we have a variety of methods to be used such as Fully Modified Ordinary Least Squares (FMOLS), Dynamic OLS (DOLS), Panel VECM.
Best Wishes,
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