Borradores de Economia
Número:
474
Publicado:
Clasificación JEL:
C13, C33
Palabras clave:
Cointegration, Dynamic OLS estimation, panel data in three dimensions
Lo más reciente
Luis Armando Galvis-Aponte, Adriana Isabel Ortega-Arrieta, Adriana Marcela Rivera-Zárate
Carola Müller, Matias Ossandon Busch, Miguel Sarmiento, Freddy A. Pinzón-Puerto
Francisco Javier Lasso-Valderrama, Mario Andrés Ramos-Veloza
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