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Professor Chihwa KAO and Other's Gauss Programs & Teaching and Others
xuehe
7301 11
2011-12-18

NPT 1.3 (5/22/2002)

  Please email: cdkao@maxwell.syr.edu  for any errors you find in NPT.

Chiang, M-H., and Kao, C., Nonstationary Panel Time Series NPT 1.3. zip files  

Some Bugs in NPT 1.3. These were pointed out by martin wagner and jarka hlouskova .

More Bugs in NPT 1.3. These were pointed out by martin wagner and jarka hlouskova .

More Bug

Rewritten  NPT procs for estimating the tests from Pedroni  (1999) by Christoph Hanck.
pcoint.dec and  pcoint_t2.src

Other Panel Gauss Programs

MULTIPC2D: RATS module for cointegration tests in heterogenous panels with multiple regressor

GROUPFM: RATS module for multivariate group mean panel FM-OLS tests

Junsoo Lee 's NPT site

Junsoo Lee's Gauss Codes

Panel Var (Holtz-Eakin, Newey, and Rosen,   Econometrica, 1988), zip file.

DPD, Dynamic Panel Data Estimation Using DPD98 for Gauss. by Manuel Arellano and Stephen Bond, December 1998.

You can download two ZIP-files dpd98.zip and xdata.zip.
Chihwa KAOE-mail me at cdkao@maxwell.syr.edu.
August 2008
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xuehe
2011-12-18 13:40:41
NPT Papers and Computer ProgramsPapers are available in [size=+1]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 aPostScript versionare 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 versionare 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).

  • 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 1-8are 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," Apdf 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 Textformat.
  • 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."  apdf versionis 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.



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



  • 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)


  • 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.


  • More papers at CPR Working Paper Series.


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xuehe
2011-12-18 13:41:32
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iooo
2011-12-18 13:41:47
xuehe 发表于 2011-12-18 13:40
xuehe 辛苦了。
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xuehe
2011-12-18 13:42:10
  • Karim Abadir at Imperial College London
  • Donald Andrews at Yale University
  • Joshua [url=http://econ-www.mit.edu/faculty/angrist/]Angrist[/url] at the Massachusetts Institute of Technology
  • Michael Artis at the University of Manchester
  • Adelchi Azzalini at the University of Padua
  • Jushan Bai at New York University
  • Arabinda Basistha at West Virginia University
  • Herman Bierens at the Pennsylvania State University
  • Richard Blundell at the Institute for Fiscal Studies
  • William Branch at the University of California, Irvine
  • Jorg Breitung at the University of Bonn
  • Martin Browning at the University of Copenhagen
  • Wändi Bruine de Bruin at Carnegie Mellon University
  • J. S. Butler at the University of Kentucky
  • Colin Cameron at the University of California, Davis
  • Fabio Canova at Universitat Pompeu Fabra
  • Marcelle Chauvet at the University of California, River Side
  • Timothy Cogley at New York University
  • Olivier Coibion at the College of William and Mary
  • Frank Cowell at the London School of Economics
  • Michael Creel at Universitat Autonoma de Barcelona
  • Nicolas Cuche at Swiss National Bank
  • Russell Davidson at McGill University
  • Wouter den Haan at London Business School
  • Frank Diebold at the University of Pennsylvania
  • Ian Domowitz at the Pennsylvania State University
  • Stephen Donald at the University of Texas, Austin
  • Jurgen Doornik at the University of Oxford
  • Jean-Marie Dufour at the Universite de Montreal
  • Ray Fair at Yale University
  • Hanming Fang at the University of Pennsylvania
  • Rodney Fort at Washington State University
  • David Friedman at Santa Clara University
  • John Geweke at the University of Iowa
  • Marvin Goodfriend at Carnegie Mellon University
  • William Greene at New York University
  • Robert Hall at Stanford University
  • Daniel Hamermesh at the University of Texas
  • Bruce Hamilton at the Johns Hopkins University
  • James Hamilton at the University of Calfornia, San Diego
  • Bruce Hansen at the University of Wisconsin, Madison
  • Don Harding at La Trobe University
  • Andrew Harvey at the University of Cambridge
  • Ana Maria Herrera at Wayne State University
  • Martin Hess at ITAM
  • Kohtaro Hitomi at the Kyoto Institute of Technology
  • Bo Honore at Princeton University
  • Atsushi Inoue at the North Carolina State University
  • Yasushi Iwamoto at the University of Tokyo
  • Jan Jacobs at the University of Groningen
  • Miguel Juarez at the University of Warwick
  • Chihwa Kao at Syracuse University
  • Sune Karlsson at Orebro University
  • Masaki Katsuura at Meijo University
  • Lutz Kilian at the University of Michigan
  • Chang-Jin Kim at Korea University
  • Genshiro Kitagawa at the Institute of Statistical Mathematics
  • Yukinobu Kitamura at Hitotsubashi University
  • Masahito Kobayashi at the Yokohama National University
  • Ivana Komunjer at the University of California, San Diego
  • Yasushi Kondo at Waseda University
  • Siem Jan Koopman at Free University, Amsterdam
  • Hans-Martin Kroizig at the University of Kent
  • Alan Krueger at Princeton University
  • Naoto Kunitomo at the University of Tokyo
  • Arthur Lewbel at Boston College
  • Helmut Lutkepohl at the European University Institute
  • Albert Ma at Boston University
  • Esfandiar Maasoumi at the Southern Methodist University
  • James MacKinnon at Queen's University
  • Jan Magnus at Tilburg University
  • Gregory Mankiw at Harvard University
  • Charles Manski at Northwestern University
  • Nozomu Matsubara at Sophia University
  • William McCausland at the University of Montreal
  • John Miller at Carnegie Mellon University
  • Chiara Monfardini at the University of Bologna
  • Kimio Morimune at Kyoto University
  • James Morley at Washington University, St. Louis
  • Charles Nelson at the University of Washington
  • Haruhisa Nishino at Chiba University
  • Serena Ng at the University of Michigan
  • Fumio Ohtake at Osaka University
  • Shinichi Oishi at Waseda University
  • Masao Ogaki at the Ohio State University
  • Yasuhiro Omori at the University of Tokyo
  • Alexei Onatski at Columbia University
  • Chris Orme at the University of Manchester
  • Kosuke Oya at Osaka University
  • Adrian Pagan at the University of Sydney
  • Panos Pashardes at the University of Cyprus
  • Daniel Pena at the Universidad Carlos III de Madrid
  • Krishna Pendakur at Simon Fraser University
  • Pierre Perron at Boston University
  • Hashem Pesaran at the University of Cambridge
  • Damjan Pfajfar at the University of Tilburg
  • Peter Phillips at Yale University
  • Jeremy Piger at the University of Oregon
  • David Pollard at Yale University
  • Tommaso Proietti at the University of Rome "Tor Vergata"
  • Lucrezia Reichlin at the Universite Libre de Bruxelles
  • James Robins at Harvard University
  • Paul Ruud at the University of California, Berkeley
  • Michael Salemi at the University of North Carolina
  • Thomas Sargent at New York University
  • Frank Schorfheide at the University of Pennsylvania
  • Yoshiko Shirata at Nihon University
  • Shigenori Shiratsuka at the Bank of Japan
  • Christopher Sims at Princeton University
  • Richard Startz at the University of Washington
  • Mark Steel at the University of Warwick
  • James Stock at Harvard University
  • David Stoffer at the University of Pittsburgh
  • Tokuhisa Suzuki at Nikkei Research Inc.
  • Katsuto Tanaka at Hitotsubashi University
  • Hisashi Tanizaki at Kobe University
  • Nobuhiko Terui at Tohoku University
  • Justin Tobias at the Iowa State University
  • Aad van der Vaart at Free University, Amsterdam
  • Mark Watson at Princeton University
  • Halbert White at the University of California, San Diego
  • Frank Wolak at Stanford University
  • Michael Woodford at Columbia University
  • George Woodworth at the University of Iowa
  • Jeffrey Wooldrige at the Michigan State University
  • Stephen Wright at Birkbeck College
  • Kuan Xu at Dalhousie University
  • Yoshihiro Yajima at the University of Tokyo
  • Hiroshi Yamada at Hiroshima University
  • Hiroshi Yamaguchi at Komazawa University
  • Atsushi Yoshida at the University of Tsukuba
  • Yasuto Yoshizoe at Aoyama Gakuin University
  • Jun Yu at Singapore Management University
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xuehe
2011-12-18 13:43:12
This file is part of IDEAS, which uses RePEc data
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Chihwa Kao Personal Details | Affiliation | Works
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Personal DetailsFirst Name: Chihwa
Middle Name:
Last Name: Kao
Suffix: RePEc Short-ID: pka371 Email: cdkao@maxwell.syr.edu
Homepage: http://faculty.maxwell.syr.edu/cdkao/
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Affiliation(in no particular order) [size=-1]
  • Center for Policy Research
    Syracuse University    Location: Syracuse, New York (United States)
    Homepage: http://www.maxwell.syr.edu/cpr.aspx
    Email: mwbonney@maxwell.syr.edu
    Phone: (315) 443-3114
    Fax: (315) 443-1081
    Postal: 426 Eggers Hall, Syracuse, NY 13244-1020
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