I'm using the CCE estimation technique for a research work. My dataset consists of eight cross-sectional units (N) and 24 time (T) dimensions in each cross-sectional unit, and I'm using Stata for my estimation. The cross-sectional dependence test shows that the panels are cross-sectionally dependent. Also, the variables have mixed order of integration (stationarity), i.e., I(0) and I(1). Both the CCEMG and CCEPMG don't seem to be quite appropriate for my dataset. Please, I need help finding a suitable estimation technique, and will really appreciate suggestions. Thank you.
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