Cointegration vector estimation by dols for a three-dimensional panel
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 fo...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2015
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23013
- Acceso en línea:
- https://doi.org/10.15446/rce.v38n1.48801
https://repository.urosario.edu.co/handle/10336/23013
- Palabra clave:
- Cointegration
Multidimensional
Panel data
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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. |
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