Ítem
Acceso Abierto
Cointegration vector estimation by dols for a three-dimensional panel
Título de la revista
Autores
Melo-Velandia L.F.
León J.J.
Saboyá D.
Archivos
Fecha
2015
Directores
ISSN de la revista
Título del volumen
Editor
Universidad Nacional de Colombia
Citations
Métricas alternativas
Resumen
Abstract
This paper extends the results of the dynamic ordinary least squares cointegration vector estimator available in the literature to a three-dimensional panel. We use a balanced panel of N and M lengths observed over T periods. The cointegration vector is homogeneous across individuals but we allow for individual heterogeneity using different short-run dynamics, individual-specific fixed effects and individual-specific time trends. We also model cross-sectional dependence using time-specific effects. The estimator has a Gaussian sequential limit distribution that is obtained by first letting T ? ? and then letting N ? ?, M ? ?. The Monte Carlo simulations show evidence that the finite sample properties of the estimator are closely related to the asymptotic ones. © 2015 Revista Colombiana de Estadística All rights received.
Palabras clave
Keywords
Cointegration , Multidimensional , Panel data
