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.