unit root and GMM

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delcredere
Posts: 15
Joined: Sat Sep 10, 2011 2:52 pm

unit root and GMM

Postby delcredere » Fri Jul 25, 2014 6:10 pm

do you need to do a panel unit root test in conjunction with the system GMM estimation ? or the time series do not need to be stationary for GMM estimation to yield valid estimates?
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