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Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel
Estimación de un modelo de cointegración utilizando DOLS para un panel de tres dimensiones
DOI:
https://doi.org/10.15446/rce.v38n1.48801Keywords:
Cointegration, Multidimensional, Panel Data (en)Cointegración, Modelos Panel, Multidimensional (es)
This paper extends the results of the dynamic ordinary least squares cointegration 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→∞ and then letting N→∞, M→∞. The Monte Carlo simulations show evidence that the finite sample properties of the estimator are closely related to the asymptotic ones.
Este documento extiende los resultados de los estimadores mínimos cuadrados dinámicos para series cointegradas disponible en la literatura a un panel de tres dimensiones. Se utiliza un panel balanceado de longitudes N y M para un periodo de tiempo de longitud T. El vector de cointegración es homogéneo a través de los individuos; sin embargo, el modelo permite cierto grado de heterogeneidad al usar diferentes dinámicas de corto plazo, efectos fijos y tendencias a niveles individuales. También se utilizan efectos en el tiempo para incluir dependencias cruzadas entre los individuos. El estimador tiene una distribución secuencial límite gausiana en la cual primero T->infinito y posteriormente N->infinito, M->infinito. Simulaciones Monte Carlo muestran evidencia de que las propiedades de muestra finita del estimador son cercanas a las asintóticas.
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