Hi Everyone,
I am working on determinants of economic growth in the Euro Area. I have unbalanced panel data for 12 countries and an average of 42 years, so N=12. All my independent variables are exogenous. Therefore, this is the heterogenous panel. The variables are either I(0) or I(1) and there exists cross-sectional dependence. Can I use the cross-sectionally augmented distributed lag (CS-DL) approach of Chudik et al.(2013) as well as the standard panel ARDL method for estimation to account for cross-state heterogeneity and dependence, dynamics, and feedback effects?
I found the xtdcce2 stata package that employs this econometric approach (https://janditzen.github.io/xtdcce2/)
I am working on determinants of economic growth in the Euro Area. I have unbalanced panel data for 12 countries and an average of 42 years, so N=12. All my independent variables are exogenous. Therefore, this is the heterogenous panel. The variables are either I(0) or I(1) and there exists cross-sectional dependence. Can I use the cross-sectionally augmented distributed lag (CS-DL) approach of Chudik et al.(2013) as well as the standard panel ARDL method for estimation to account for cross-state heterogeneity and dependence, dynamics, and feedback effects?
I found the xtdcce2 stata package that employs this econometric approach (https://janditzen.github.io/xtdcce2/)
