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:
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
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network_name_str Universidad Nacional de Colombia
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spelling Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Melo-Velandia, Luis Fernando60f7361a-a6f9-4432-81e0-546659770daf300León, John Jairodad2bd00-00e4-4383-a195-6b47d39404be300Saboyá, Dagobertob70a4dd0-2164-4671-b8d3-cb5b76a1ea543002019-07-03T02:20:07Z2019-07-03T02:20:07Z2015-01-01ISSN: 2389-8976https://repositorio.unal.edu.co/handle/unal/66541http://bdigital.unal.edu.co/67569/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.Este documento extiende los resultados de los estimadores mínimos cuadrados dinámicos para series cointegradas disponible en la literatura a un panel de tres dimensiones. Se utiliza un panel balanceado de longitudes N y M para un periodo de tiempo de longitud T. El vector de cointegración es homogéneo a través de los individuos; sin embargo, el modelo permite cierto grado de heterogeneidad al usar diferentes dinámicas de corto plazo, efectos fijos y tendencias a niveles individuales. También se utilizan efectos en el tiempo para incluir dependencias cruzadas entre los individuos. El estimador tiene una distribución secuencial límite gausiana en la cual primero T-infinito y posteriormente N-infinito, M-infinito. Simulaciones Monte Carlo muestran evidencia de que las propiedades de muestra finita del estimador son cercanas a las asintóticas.application/pdfspaUniversidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadísticahttps://revistas.unal.edu.co/index.php/estad/article/view/48801Universidad Nacional de Colombia Revistas electrónicas UN Revista Colombiana de EstadísticaRevista Colombiana de EstadísticaMelo-Velandia, Luis Fernando and León, John Jairo and Saboyá, Dagoberto (2015) Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel. Revista Colombiana de Estadística, 38 (1). pp. 45-73. ISSN 2389-897651 Matemáticas / Mathematics31 Colecciones de estadística general / StatisticsCointegrationMultidimensionalPanel DataCointegraciónModelos PanelMultidimensionalCointegration Vector Estimation by DOLS for a Three-Dimensional PanelArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTORIGINAL48801-240496-1-PB.pdfapplication/pdf759110https://repositorio.unal.edu.co/bitstream/unal/66541/1/48801-240496-1-PB.pdf902b716f8b49cfd7669f96faebda004bMD51THUMBNAIL48801-240496-1-PB.pdf.jpg48801-240496-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg5535https://repositorio.unal.edu.co/bitstream/unal/66541/2/48801-240496-1-PB.pdf.jpgcb315269fe15a1a0cfadfc3f69701385MD52unal/66541oai:repositorio.unal.edu.co:unal/665412024-05-16 23:09:41.94Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co
dc.title.spa.fl_str_mv Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
title Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
spellingShingle Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Cointegration
Multidimensional
Panel Data
Cointegración
Modelos Panel
Multidimensional
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.creator.fl_str_mv Melo-Velandia, Luis Fernando
León, John Jairo
Saboyá, Dagoberto
dc.contributor.author.spa.fl_str_mv Melo-Velandia, Luis Fernando
León, John Jairo
Saboyá, Dagoberto
dc.subject.ddc.spa.fl_str_mv 51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
topic 51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Cointegration
Multidimensional
Panel Data
Cointegración
Modelos Panel
Multidimensional
dc.subject.proposal.spa.fl_str_mv Cointegration
Multidimensional
Panel Data
Cointegración
Modelos Panel
Multidimensional
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.
publishDate 2015
dc.date.issued.spa.fl_str_mv 2015-01-01
dc.date.accessioned.spa.fl_str_mv 2019-07-03T02:20:07Z
dc.date.available.spa.fl_str_mv 2019-07-03T02:20:07Z
dc.type.spa.fl_str_mv Artículo de revista
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dc.identifier.issn.spa.fl_str_mv ISSN: 2389-8976
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/66541
dc.identifier.eprints.spa.fl_str_mv http://bdigital.unal.edu.co/67569/
identifier_str_mv ISSN: 2389-8976
url https://repositorio.unal.edu.co/handle/unal/66541
http://bdigital.unal.edu.co/67569/
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.spa.fl_str_mv https://revistas.unal.edu.co/index.php/estad/article/view/48801
dc.relation.ispartof.spa.fl_str_mv Universidad Nacional de Colombia Revistas electrónicas UN Revista Colombiana de Estadística
Revista Colombiana de Estadística
dc.relation.references.spa.fl_str_mv Melo-Velandia, Luis Fernando and León, John Jairo and Saboyá, Dagoberto (2015) Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel. Revista Colombiana de Estadística, 38 (1). pp. 45-73. ISSN 2389-8976
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
dc.rights.uri.spa.fl_str_mv http://creativecommons.org/licenses/by-nc/4.0/
dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv Atribución-NoComercial 4.0 Internacional
Derechos reservados - Universidad Nacional de Colombia
http://creativecommons.org/licenses/by-nc/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.mimetype.spa.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadística
institution Universidad Nacional de Colombia
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