Hello,
I have a technical question surrounding a fixed effects model using the xtreg (variables) ,fe vce(robust) command and the presence of non-stationary variables in panel data. In the model I am using log variables and I have detected the presence of a unit root using the commands xtunitroot ht, xtunitroot llc and found evidence to suggest the variables are non-stationary.
What would you suggest in order to resolve this issue? Normally I would first difference the variables and test to confirm the transformed variables are now stationary. Would you still run a fe regression with first differenced variables?
P.S new to the site
Thank you for your help.
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