Greetings!
Please, I'd like to know and make sure whether Driscoll-Kraay standard error model approach (xtscc) able to deal with non-stationary panel data set (for instance, I(1) or mixed I(0) I(1))? Or stationarity I(0) of the panel is a requirement?
In my case, DV(1); key IV(0) and other control variables IV(1).
Would be glad to hear from you and learn from your expertise.
Thanks beforehand.
References to the xtscc approach: http://fmwww.bc.edu/repec/bocode/x/xtscc.ado
Also see: The Stata Journal, "Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence" by Daniel Hoechle
Best regards.
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