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

Detalles Bibliográficos
Autores Principales: Melo-Velandia, Luis Fernando, León, John Jairo, Saboyá, Dagoberto
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2007
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5492