| Summary: | 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.
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