Dear Statalist,

I am working on my dissertation which includes an analysis of macroeconomic data such as GDP and trade. As I do not have much previous experience with macroeconomic data, I have a few questions regarding stationarity in panel data.

1. If the dependent variable exhibits stationarity, is it required that all of the independent variables exhibit stationarity as well?

2. If non-stationarity is found within one of the independent variables, should every included variable be first-differenced/detrended or is this only required for the independent variables that exhibit non-stationarity?

3. Should stationarity also be tested for in instruments used for a two-stage least squares regression?


Kind regards,

Camille Smith