NPT

Papers and Computer Programs

Papers are available in PostScript, PDF or Doc.

Several recent discussion papers are available for downloading.

• Kao., C. and Lee, L.-F. "Maximum Simulated Likelihood Estimation of Consumer Demand Systems with Binding Non-Negativity Constraints."  A TeX (DVI) version, and a PostScript version are available.

Kan, K., and Kao, C. "A Maximum Simulated Likelihood Estimation of Consumer Demand Systems with Zero Expenditures: A Double Hurdle Model," manuscript. A TeX (DVI) version, and a PostScript version are available. GAUSS program for this paper is downloadable in text format

Kao, C. "Spurious Regression and Residual-Based Tests for Cointegration in Panel Data,"  Journal of Econometrics, 1999, 90, 1-44.  A  PDF version are available. GAUSS program for this paper is downloadable in Text format. Typos: On page 16, t-rho should be outside the square root for DF(t).

• Spurious regression and residual-based tests for cointegration in panel data

• McCoskey, S., and Kao, C. "A Residual-Based Test of the Null of Cointegration in Panel Data," Econometric Reviews, 1998. Typos:
  (1) on page 83, last line 7, xt should be epsilon(t).
  (2) on page 84, last line 6 and line 4, [Tr] should be T.
  A TeX (DVI) version, a PDF version and a PostScript version are available. GAUSS program for this paper is downloadable in Text format. Important note from Professor Jack Strauss.

• Kao, C., and Chiang, M.-H. "On the Estimation and Inference of a Cointegrated Regression in Panel Data."  A PostScript version   is available. Figures 1-8 are here. (REVISED 5/15/00)  GAUSS program for this paper is downloadable in Text format..  Advances in Econometrics, 15, 179-222.  a PDF version
• Kao, C., Chiang, M-H., and  Chen, B. "International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration," A  pdf version  is available. GAUSS program for this paper is downloadable in Text format.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1999.
• McCoskey, S., and Kao, C. "Comparing Panel Data Cointegration Tests with an Application to the ``Twin Deficits'' Problem," A pdf version is available.
• McCoskey, S., and Kao, C. "Testing the Stability of a Production Function with Urbanization as a Shift Factor," A  pdf version is available. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1999.
• Kao, C., and Emerson, J. "On the Estimation of a Linear Time Trend Regression with a One-Way Error Component Model in the Presence of Serially Correlated Errors," A PostScript version is  available. (REVISED 2/2/00) GAUSS program for this paper is downloadable in Text format.
• Emerson, J. and Kao, C.,  "Testing for Structural Change of a Time Trend Regression in Panel Data," A pdf version is available. (REVISED 01/012/01)
• Emerson, J. and Kao, C., "Estimating and Testing for Structural Change for GDP Growth Rates in Panel Data," A dvi is available. table1. table2. GAUSS program for this paper is downloadable in Text format.
• Baltagi, B. and Kao, C., "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," pdf version.
• Kao, C., and Chiang, M-H. " Testing for Structural Change of a Cointegrated Regression in Panel Data," pdf version .
• Kao., C. Lee, L.-F and Pitt, M. M. (2001) "Simulated Maximum Simulated Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints."  a pdf version is available.
• Kao, C. Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH. word format.

• Li, J., and Kao, C. A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates,  pdf version. Fortran program for this paper is downloadable in Zip format.

• Kao, C., Asymptotic Inference in Censored Regression Models Revisited, word format.

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• Hong, Y. and Kao, C., Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models.

  • Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models (pp. 1519-1563), 2004.

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• Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals (p 554-572), 2008
  Badi H. Baltagi, Chihwa Kao, Long Liu

  Abstract  |  References | Full Text:   HTML,   PDF (Size: 613K)
  

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• Panel cointegration with global stochastic trends
  Journal of Econometrics, Volume 149, Issue 1, April 2009, Pages 82-99
  Jushan Bai, Chihwa Kao, Serena Ng. gauss program.

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• More papers at  CPR Working Paper Series.