Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad Nacional de Colombia
2015
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| _version_ | 1876460061808656384 |
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| author | Luis Fernando Melo-Velandia |
| author_facet | Luis Fernando Melo-Velandia |
| contents | Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel Luis Fernando Melo-Velandia John Jairo León Dagoberto Saboyá Física, Astronomía y Matemáticas Panel Data Cointegration Multidimensional This paper extends the results of the dynamic ordinary least squares coin- tegration 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 !1 and then letting N !1 , M !1 . The Monte Carlo simulations show evidence that the finite sample properties of the estimator are closely related to the asymptotic ones. 2015 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89938627004 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.1 Vol.38 |
| format | Artículo científico |
| id | redalyc_89938627004 |
| institution | Redalyc |
| language | en |
| publishDate | 2015 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel Luis Fernando Melo-Velandia Física, Astronomía y Matemáticas Panel Data Cointegration Multidimensional Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel Luis Fernando Melo-Velandia John Jairo León Dagoberto Saboyá Física, Astronomía y Matemáticas Panel Data Cointegration Multidimensional This paper extends the results of the dynamic ordinary least squares coin- tegration 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 !1 and then letting N !1 , M !1 . The Monte Carlo simulations show evidence that the finite sample properties of the estimator are closely related to the asymptotic ones. 2015 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89938627004 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.1 Vol.38 |
| title | Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel |
| topic | Física, Astronomía y Matemáticas Panel Data Cointegration Multidimensional |
| url | https://www.redalyc.org/articulo.oa?id=89938627004 |