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:oops: Okay okay,,, I stand corrected. What I meant was if the coefficient of the dummy is statistically insignificant. One can debate on the issue of no effect/ very weak effect. The main thing is that the impact does not differ. For example, if one is looking at whether being a male or female woul...

Okay... I will try and respond to all the questions above and (hopefully it will help) I think that the main thing is to ask (do you have to really identify the t-stat or computed tau in your workings)? My advice is ... even if you are using unbalanced panel... to do a group panel test. Instead of s...

Okay... firstly, I would warn that you should have other variables in your model as an "adequate model" should not ONLY include dummies. Maybe go back to the theory and include another variable that you could use. In terms of interpretation, check on whether the dummies are statistically s...

Does one have to do cointegration when estimating a pooled OLS model, FEM or REM? Yes, unit root tests are necessary, but do I have to test for cointegration???

I am a bit confused when it comes to regressing I(0) and I(1) variables in panel. Normally, variables are I(1) and then one simply differences them in the regression. However, what happens if I am estimating either a Pooled, Random or Fixed Effects model and I have the following variables: Dependent...