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...

Full description

Autores:
Melo-Velandia, Luis Fernando
León, John Jairo
Saboyá, Dagoberto
Tipo de recurso:
Article of journal
Fecha de publicación:
2015
Institución:
Universidad Nacional de Colombia
Repositorio:
Universidad Nacional de Colombia
Idioma:
spa
OAI Identifier:
oai:repositorio.unal.edu.co:unal/66541
Acceso en línea:
https://repositorio.unal.edu.co/handle/unal/66541
http://bdigital.unal.edu.co/67569/
Palabra clave:
51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Cointegration
Multidimensional
Panel Data
Cointegración
Modelos Panel
Multidimensional
Rights
openAccess
License
Atribución-NoComercial 4.0 Internacional