I have 120 IDs. For each ID I have hourly data (90 hours per ID). My data is perfectly balanced. I run xtunitroot tests and all the different versions (llc, ips, demean, trend, lags etc.) and I strongly reject the null hypothesis of a unit root. However, when I run 200 different dfuller tests per ID, I can only strongly reject the null hypothesis in about half of them.
my questions to you are:
- Which test approach should I trust more? xtunitroot for the whole panel or dfuller for each different ID?
- Does it make sense to check unit root for each ID? And if yes, how should I now proceed when around half of the data/IDs is non-stationary?