Detrending in Dynamic Panel Data regression

[Sreekar Vanapalli]

Hello,

I am running a dynamic panel data regression. However 3 out of my 7 variables are stationary at trend level.

I wanted to know if I should detrend these variables or if it is okay to run the model since I am adding lagged dependent variable as a regressor ?. Does my lagged dependent variable act as a time dummy ?

Thanks

[Fei Wang]

Time dummies usually need to be included in dynamic panel regressions. Adding lagged DV is not enough for detrending.

[Sreekar Vanapalli]

Dear Fei Wang,

Thank you for the reply. I realised I was completely wrong about my previous model so I changed it.
I still have a query about the new model about which I have posted in the link I attached.
I would be grateful if you could help me out with that query.