Cointegration vector estimation by dols for a three-dimensional panel

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Borradores de Economía; No. 474
Date published
2007-12-13
Date of last update
2007-12-13
Author
Melo-Velandia, Luis Fernando
León, John Jairo
Saboyá, Dagoberto
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This paper extends the asymptotic results of the dynamic ordinary least squares (DOLS) cointegration vector estimator of Mark and Sul (2003) to a three-dimensional panel. We use a balanced panel of N and M lengths observed over T time periods. The cointeg
JEL Codes
C33 - Multiple/Simultaneous Equation Models; Multiple Variables: Panel Data Models; Spatio-temporal ModelsC13 - Estimation: General
Keywords
Cointegration ; Dynamic OLS estimation ; Panel data in three dimensions ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5492
https://hdl.handle.net/20.500.12134/5492
https://doi.org/10.32468/be.474
https://ideas.repec.org/p/bdr/borrec/474.html
https://ideas.repec.org/p/col/000094/004391.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit