My thought is this: It depends on what you have in the panel. Are your data cross-section data observed over ten years for, say, 3 countries (or regions within the same country)? If so, yes you can perform integration properties (what people usually call unit root test) and then test for cointegration. But if the data are quarterly or monthly, these techniques are not relevant.
Hope this helps. Lexi -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of amatoallah ouchen Sent: Friday, July 23, 2010 12:18 AM To: r-help@r-project.org Subject: [R] Question regarding panel data diagnostic Good day R-listers, I'm currently working on a panel data analysis (N=17, T=5), in order to check for the spurious regression problem, i have to test for stationarity but i've read somewhere that i needn't to test for it as my T<10 , what do you think? if yes is there any other test i have to perform in such case (a kind of cointegration test for small T?) Any hint would be highly appreciated. Ama. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. DISCLAIMER:\ Sample Disclaimer added in a VBScript.\ ...{{dropped:3}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.