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
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