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...

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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
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spelling 11d971a0-2012-4ec9-9f71-8f4582723eb7-1cde620fe-799f-4c3e-989f-5db3e6f5aafa-132d47cf1-0240-4168-acc7-872ffed6359d-12020-05-25T23:59:15Z2020-05-25T23:59:15Z2015This 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.application/pdfhttps://doi.org/10.15446/rce.v38n1.488011201751https://repository.urosario.edu.co/handle/10336/23013engUniversidad Nacional de Colombia73No. 145Revista Colombiana de EstadisticaVol. 38Revista Colombiana de Estadistica, ISSN:1201751, Vol.38, No.1 (2015); pp. 45-73https://www.scopus.com/inward/record.uri?eid=2-s2.0-84923246414&doi=10.15446%2frce.v38n1.48801&partnerID=40&md5=aaaccbbec989d95e42ccb4af4d6a59a9Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCointegrationMultidimensionalPanel dataCointegration vector estimation by dols for a three-dimensional panelEstimación de un modelo de cointegración utilizando DOLS para un panel de tres dimensionesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Melo-Velandia L.F.León J.J.Saboyá D.ORIGINAL48801-240496-1-PB.pdfapplication/pdf759110https://repository.urosario.edu.co/bitstreams/df81daa5-3329-45d8-b932-11b0a1d55464/download902b716f8b49cfd7669f96faebda004bMD51TEXT48801-240496-1-PB.pdf.txt48801-240496-1-PB.pdf.txtExtracted texttext/plain55658https://repository.urosario.edu.co/bitstreams/e2af81ec-ffab-455d-a8b5-2683aa991efa/downloadee516e00e75b38584ac7af447c6a5faaMD52THUMBNAIL48801-240496-1-PB.pdf.jpg48801-240496-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg2938https://repository.urosario.edu.co/bitstreams/7bf718be-a5c5-4f99-869f-b784d1a89856/download3a43a208e329885774bf7aa1bf9dfcdcMD5310336/23013oai:repository.urosario.edu.co:10336/230132022-05-02 07:37:20.857886https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Cointegration vector estimation by dols for a three-dimensional panel
dc.title.TranslatedTitle.spa.fl_str_mv Estimación de un modelo de cointegración utilizando DOLS para un panel de tres dimensiones
title Cointegration vector estimation by dols for a three-dimensional panel
spellingShingle Cointegration vector estimation by dols for a three-dimensional panel
Cointegration
Multidimensional
Panel data
title_short Cointegration vector estimation by dols for a three-dimensional panel
title_full Cointegration vector estimation by dols for a three-dimensional panel
title_fullStr Cointegration vector estimation by dols for a three-dimensional panel
title_full_unstemmed Cointegration vector estimation by dols for a three-dimensional panel
title_sort Cointegration vector estimation by dols for a three-dimensional panel
dc.subject.keyword.spa.fl_str_mv Cointegration
Multidimensional
Panel data
topic Cointegration
Multidimensional
Panel data
description 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.
publishDate 2015
dc.date.created.spa.fl_str_mv 2015
dc.date.accessioned.none.fl_str_mv 2020-05-25T23:59:15Z
dc.date.available.none.fl_str_mv 2020-05-25T23:59:15Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.15446/rce.v38n1.48801
dc.identifier.issn.none.fl_str_mv 1201751
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23013
url https://doi.org/10.15446/rce.v38n1.48801
https://repository.urosario.edu.co/handle/10336/23013
identifier_str_mv 1201751
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dc.relation.citationIssue.none.fl_str_mv No. 1
dc.relation.citationStartPage.none.fl_str_mv 45
dc.relation.citationTitle.none.fl_str_mv Revista Colombiana de Estadistica
dc.relation.citationVolume.none.fl_str_mv Vol. 38
dc.relation.ispartof.spa.fl_str_mv Revista Colombiana de Estadistica, ISSN:1201751, Vol.38, No.1 (2015); pp. 45-73
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dc.publisher.spa.fl_str_mv Universidad Nacional de Colombia
institution Universidad del Rosario
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