Hi, I am using panel data (N>T) and I want to perform the endogenous threshold model (Seo &Shin, 2016). My dependent variable and my threshold variables are I(1), but my explanatory variables are I(0).Can I perform the regression using these variables I(1) and I(0), or should I use the first difference of the dependent variable and the first difference of the threshold variable so that all variables in the regression are I(0)? in this case how to interpret r ? thank you!
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