Cointegration vector estimation by dols for a three-dimensional panel
Borradores de Economía; No. 474
Date published
2007-12-13Date of last update
2007-12-13Document language
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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
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https://repositorio.banrep.gov.co/handle/20.500.12134/5492https://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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