I am running a panel regression in R. I would like to test for stationarity.
By doing a test on my dependent and independent variables, I couldn't reject H0 of unit root for one of my independent variables. For the other independent variables I got error. My dependent variable is stationary.
Now, I would like to test if the total of my independent variables is stationary by testing for unit root in the residuals of my model. I think the problem I got is that I can't store my residuals in my panel data framework.
I've tried this in R:
add_residuals(pdata,pmodel3,var="resid")
Result:
Error in UseMethod("predict") :
no applicable method for 'predict' applied to an object of class
"c('plm', 'panelmodel')"
I think that I can do this test if my residuals are added in the panel data framework:
DataNew <- subset(pdata, !YEAR %in% YEAR[is.na(resid)])
y<-data.frame(split(DataNew(resid),DataNew$COUN))
purtest(y, test="madwu", exo="intercept", lags="AIC",pmax=4)
An other question is: How I can plot my residuals over the years for every country individually to check stationarity graphically?