Cointegration vector estimation by dols for a three-dimensional panel
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
Autores Principales: | , , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Banco de la República
2007
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Materias: | |
Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/5492 |