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 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...
