Cointegration vector estimation by dols for a three-dimensional panel

Melo-Velandia, Luis Fernando; León, John Jairo; Saboyá, Dagoberto

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

2007-12-13

Authors

Melo-Velandia, Luis Fernando
León, John Jairo
Saboyá, Dagoberto

Document language

spa

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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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