NPTPapers 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
Center for Policy Research
Syracuse UniversityLocation: 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
Handle: RePEc:edi:cpsyrus (registered authors at this institution)
ListsThis author is among the top 5% authors according to these criteria:[size=-1]
Badi H. Baltagi & Chihwa Kao & Sanggon Na, 2011. "Test Of Hypotheses In Panel Data Models When The Regressor And Disturbances Are Possibly Nonstationary," Center for Policy Research Working Papers 128, Center for Policy Research, Maxwell School, Syracuse University. [size=-1][Downloadable!]
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