[R] Question regarding panel data diagnostic

[Setlhare Lekgatlhamang]

Let me correct an omission in my response below. The last sentence
should read "But if the data are 10 quarterly or monthly values, these
techniques are not relevant".

Cheers
Lexi

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of Setlhare Lekgatlhamang
Sent: Saturday, July 24, 2010 12:54 PM
To: amatoallah ouchen; r-help at r-project.org
Subject: Re: [R] Question regarding panel data diagnostic

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-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of amatoallah ouchen
Sent: Friday, July 23, 2010 12:18 AM
To: r-help at 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.
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