Cointegration Vector Estimation by Dols for a Three-Dimensional Panel

Borradores de Economia
Number: 
474
Published: 
Classification JEL: 
C13, C33
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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This paper extends the asymptotic results of the dynamic ordinary least squares (DOLS) cointegration vector estimator of Mark and Sul (2003) to a three-dimensional panel. We use a balanced panel of N and M lengths observed over T time periods. The cointeg