If a variable is stationary with a linear trend, do I have to include a linear trend in estimatoin?

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hkim1
Posts: 4
Joined: Wed May 06, 2020 11:10 am

If a variable is stationary with a linear trend, do I have to include a linear trend in estimatoin?

Postby hkim1 » Wed Jun 17, 2020 10:31 am

Hello there,

I have multiple variables that are I(0) and I(1). Once I conduct unit root test with a linear trend, every variable is I(0), which lets me to fixed effects model. Does it mean in my FE model, I have to include a linear trend? Thanks for consideration.

startz
Non-normality and collinearity are NOT problems!
Posts: 3573
Joined: Wed Sep 17, 2008 2:25 pm

Re: If a variable is stationary with a linear trend, do I have to include a linear trend in estimatoin?

Postby startz » Wed Jun 17, 2020 12:09 pm

It's probably a good idea.


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