Exploring a Scientific Research Methodology in Social Sciences: Steps for Analyzing Non-Stationary Heterogeneous Panel Data
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Accurate and rigorous applications of the econometric analysis is crucial when writing a high-quality analytical research paper in social sciences. This article provides the basic framework on how to construct econometric analysis for heterogenous non-stationary dynamic panel datasets. Panel data econometrics is a very broad field, naturally it will not be possible to include all methods in this study. Thus, we present details of the specific selected highly used standard panel data tests and estimations (Im-Pesaran-Shin unit root testing, Pedroni’s cointegration test, panel data ordinary least squares) in this paper and explain why and under which conditions these methods are applied. We employ theoretical formulations of mentioned tests and estimations along with Engle and Granger’s error correction mechanism in order to determine the order of integration and long-run relationship between the panel variables. In summary, we aim to explain basic steps for a straightforward empirical panel data research process for new researchers in social sciences.
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