Non-stationary Panel Time Series 

(NPT)

Study group 

(Margie Tieslau and Junsoo Lee)

Kao's NPT site 

1.  Part I  (Panel Unit Root tests)

    Summary

    Example program  Output

    Data

2. Part II & III (Panel Cointegration tests)

    Summary

    Example program  Output

    Data: data1 data2 data3  data4 data5

3. Part IV (Estimating Panel Data Models)

    Summary

    Example program  Output

    Data (same as examples in part 3)

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Panel VAR models (Holtz-Eakin, Newey, and Rosen, Econometrica, 1988)

 Summary

Gauss codes and data files (Kao's site)