For the panel unit root test, i used the IPS test and confirmed that the variables are i(1) so then i went on to the cointegration tests.
For the panel cointegration test, i used the pedroni panel cointegration test, and i am having some difficulty on the interpretation of the seven tests statistics as the results are not consistent. other literature say that panel and group ADF are most robust, can i just concentrate on those two statistics?
I would also like to ask if I should use the same deterministic trend in the IPS, Pedroni tests, and construction of VEC. Also, the results differ when the order of variables opened as a group varies, how should i address this? And from the cointegration test (given that the variables are cointegrated), i construct a VEC, i have to enter the number of lags, can i enter any values to this or should i look at the max lag from the cointegration test (chosen using AIC). Also, what should i enter in the (rank) number of cointegrating, since that is not given in the pedroni cointegration results?
I am sorry for my very basic questions
i am using eviews7
