Cross-dependence in panel data
Posted: Thu May 26, 2016 5:03 am
Hi,
When testing for cross-dependence in panel data, do I need to test as a pre-estimation for each "raw" variable or as a post-estimation on the residuals from an OLS, and what is the difference. This is because I want to test for cross-dependence before running unit root tests.
Thanks.
When testing for cross-dependence in panel data, do I need to test as a pre-estimation for each "raw" variable or as a post-estimation on the residuals from an OLS, and what is the difference. This is because I want to test for cross-dependence before running unit root tests.
Thanks.