Mark, Nelson C.; Sul, Donggyu - In: Oxford Bulletin of Economics and Statistics 65 (2003) 5, pp. 655-680
We study the panel dynamic ordinary least square (DOLS) estimator of a homogeneous cointegration vector for a balanced panel of "N" individuals observed over "T" time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects...