1. My research involved 10 explanatory variables. After performing the CIPS panel unit root test, I found 4 variables stationary at level 1, 3 variables stationary at level I (1), and 2 variables stationary at level I (2). What should I do next? Do I perform a cointegration test?
2. I run both the Westerlund cointegration and Pedroni cointegration tests in Stata and EViews, but Stata shows "No more than six covariates can be specified." and with Eviews I can't run the test with more than 7 variables. Then what should I do?
Since your dependent variable (CO2) is integrating at level (1) and all other variables are have a mixed order of integration, it is not advisable to use Pedroni and Westerlund cointegration tests. Because these two cointegration tests can only be used when DV is integrating at 1st difference and all other independent variables may be of I(0) or I(1) order. So, you can go for PMG-ARDL which is applicable in your case.
Second thing is that, some of your variables are integrating at 2nd difference. So, it better to drop those variables and use only use those variables that are integrating at most at I(1). You can refer to this articleArticle Sustainable pathways for attaining net‑zero emissions in Eur...
- Badges
- Science topic
- Similar topics
- Philosophy
- Moral Philosophy
- Free Will