Use of non-stationary variable in time series GMM
Posted: Sun Feb 13, 2011 11:30 pm
Hi,
I am trying to estimate a time series GMM regression. One of my regressors is non-stationary. Can any anyone tell me whether a non-stationary regressor can be used in time series GMM?
Thanks
I am trying to estimate a time series GMM regression. One of my regressors is non-stationary. Can any anyone tell me whether a non-stationary regressor can be used in time series GMM?
Thanks