Hello,
I would like to know if I have my variables are stationary at first difference and I would like to apply the CCEMG estimator. Should I estimate the model in level or in first differences? From the stata help, I saw that the model variables were I(1) and the model was estimated in level??
Thank you a lot for your help
I would like to know if I have my variables are stationary at first difference and I would like to apply the CCEMG estimator. Should I estimate the model in level or in first differences? From the stata help, I saw that the model variables were I(1) and the model was estimated in level??
Thank you a lot for your help
