Hi All,

I have an unbalanced panel with data for 890 companies for 81 months. Since the period is long, it was suggested that I perform unit root test and check whether the variables used in the study are stationary. To account for cross-sectional dependence, the pescadf command was used for the unit root test. The results suggest that one of my variables is nonstationary.

Given this, are the fixed effect estimates obtained using the xtreg, fe command efficient and consistent?

It would be really helpful if someone could help me in this regard.

Thanks
Elizabeth