panel cointegration test

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DrMussa
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Joined: Wed May 01, 2013 1:01 pm

panel cointegration test

Postby DrMussa » Mon Feb 24, 2014 3:57 pm

Hi,
Could u please help help me indicating the right way to perform panel cointegration test via eviews?

I have 9 variables:
y x1 x2 x3 x4 are stationary, while x5 x6 x7 x8 are not stationary
I want to perform both: Kao cointegration test + Unit root teste on residual (specially ADF).

So in both tests, should all the variable be at the same level? i.e: can I use all panel at original level regardless data are stationary or not? or use only stationary panels (in this case x5 x6 x7 x8 will be measure as it's first diff)?

Thanks in advance

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