Melo, Luis F.; León, John J.; Saboyá, Dagoberto - Banco de la Republica de Colombia
This paper extends the asymptotic results of the dynamic ordinary least squares (DOLS) cointegration vector estimator … periods. The cointegration vector is homogenous across individuals but we allow for individual heterogeneity using different … considered for the first two dimensions. This paper was motivated by the three-dimensional panel cointegration analysis used to …