1Banco de la República, Econometric Unit, Bogotá, Colombia. Senior Econometrician. Email: lmelovel@banrep.gov.co
2University of Maryland, Department of Economics, College Park, USA. PhD student. Email: leon@econ.umd.edu
3Universidad del Rosario, Department of Mathematics, Bogotá, Colombia. Professor. Email: dsaboyac@unal.edu.co ]]>
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.
Key words: Cointegration, Multidimensional, Panel Data.
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→∞ y posteriormente N→∞, M→∞. Simulaciones Monte Carlo muestran evidencia de que las propiedades de muestra finita del estimador son cercanas a las asintóticas.
Palabras clave: cointegración, modelos panel, multidimensional.
Texto completo disponible en PDF
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Este artículo se puede citar en LaTeX utilizando la siguiente referencia bibliográfica de BibTeX:
@ARTICLE{RCEv38n1a03,
AUTHOR = {Melo-Velandia, Luis Fernando and León, John Jairo and Saboyá, Dagoberto}, ]]>
TITLE = {{Cointegration Vector Estimation by DOLS for a Three-Dimensional Panel}},
JOURNAL = {Revista Colombiana de Estadística},
YEAR = {2015},
volume = {38},
number = {1},
pages = {45-73}
}