The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results...

In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...