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:
-
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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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 |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
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info:eu-repo/semantics/article |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/resource_type/c_6501 |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Text |
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http://purl.org/redcol/resource_type/ART |
format |
http://purl.org/coar/resource_type/c_6501 |
status_str |
publishedVersion |
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 |
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application/pdf |
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Universidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadística |
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Universidad Nacional de Colombia |
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