Hello! I am a fresh Stata user and not very excellent on econometrics. My data is consisted of N=8 and T=16 in years. I have 13 independent variables and 1 dependent variable. My dependent variable is specified in t, and all my independents are in t-1. First, for all of them I checked cross-sectional dependence, and two of my independent variables are cross-sectionally independent and the rest is dependent. I use Pescadf to test unit root for my cross sectionally dependent variables and Fisher dfuller and pperron for my cross sectionally independent variables. All before, I tried to use "pvarsoc" command to specify the lags for all my variables, but I cannot succeeded in it. So, for 7 of my independent variables in the pescadf side, I reject the null of unit root using 0 lags. For 2 of my independent variables in the pescadf side, I reject the null using 1 lags, and for 1 using 2 lags (As I am using yearly data in a lagged form, I am abstaining to use 2 lags). For the rest two, when I used 1st differencing, all seem OK. For the Fisher side, when I apply 1st differencing into the one variable having unit root, it is also OK.
So, my question is choosing lags in such a way is OK or do I have to use any command to choose the lags?
My second question is, now, could I run Panel Cointegration test as including my all level variables and variables in difference together? Or do I have to separate my cases from each other?
Thanks in advance!