My thought is this:
It depends on what you have in the panel. Are your data cross-section data
observed over ten years for, say, 3 countries (or regions within the same
country)? If so, yes you can perform integration properties (what people usually
call unit root test) and then test for cointegration. But if the data are
quarterly or monthly, these techniques are not relevant.
Hope this helps.
Lexi
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of amatoallah ouchen
Sent: Friday, July 23, 2010 12:18 AM
To: r-help at r-project.org
Subject: [R] Question regarding panel data diagnostic
Good day R-listers,
I'm currently working on a panel data analysis (N=17, T=5), in order
to check for the spurious regression problem, i have to test for
stationarity but i've read somewhere that i needn't to test for it as
my T<10 , what do you think? if yes is there any other test i have
to perform in such case (a kind of cointegration test for small T?)
Any hint would be highly appreciated.
Ama.
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