I have a data set of N=280 and T =60. I did fisher test for each of my 9 variables. Only two have unit roots at levels and stationary at I(1), rest of the variables are stationary. My question is can I use first difference of the two variables and levels for the stationary variables in the same regression model using fixed effects? Or do I need to use first difference for all the 9 variables. Is Fixed effects estimation still valid with unit roots?
GII = FDI +FemaleFert+GOVTEXP+EDUCATION+POPUL+GDPGROWTH
MY GII and education variables are non stationary at level, so can I use in stata the below command???
xtreg d.GII FDI FEMFER d.EDUC Popul GDP, fe cluster (Country)
or do I need to difference all my variables?
Also what is the purpose of the Cointegration test? if cointegration exists does it mean I can use the non stationary variables in levels using normal fixed effects estimation???
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