NPT

Papers and Computer Programs

         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. An example.

         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 and data are downloadable hereOXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1999

           More papers at  CPR Working Paper Series.