Do we need all the variables to have same order of integration for the application of GMM? what are the pre-conditions for applying GMM?

by Najia Mughal   Last Updated May 15, 2018 20:19 PM

I have 5 variables in my model;3 of them are stationary at 1st difference while 2 of them are stationary at level. Can i use GMM in this case?

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