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Activity Number:
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122
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Type:
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Contributed
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Date/Time:
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Monday, August 3, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304745 |
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Title:
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Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
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Author(s):
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Luis Melo*+ and John Leon and Dagoberto Saboya
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Companies:
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Central Bank of Colombia and Inter American Development Bank and Central Bank of Colombia
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Address:
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Kra 7 No. 14-78 piso 11, Bogota, ---, Colombia
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Keywords:
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Cointegration ; Dynamic OLS estimation ; panel data in three dimensions
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Abstract:
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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 cointegration vector is homogenous across individuals but we allow for individual heterogeneity using different short-run dynamics, individual-specific fixed effects and individual-specific time trends. Both individual effects are considered for the first two dimensions. We also model some degree of cross-sectional dependence using time-specific effects. The estimator has a Gaussian sequential limit distribution that is obtained first letting T tend to infinity and then letting N to infinity, M to infinity.
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