Code is for R (.R)

For R, source qmle_CMS.R in the R folder to conduct QMLE estimation for the BPP model in levels with the option of a bootstrap bias correction. This calls the lik_fcn.R, scr_fcn.R, trans.R, shocks.R, and dgp.R files. Run qmle_CMS_FD.R to conduct QMLE estimation for the BPP model in first differences with the option of a bootstrap bias correction. This calls the lik_fcn_FD.R, scr_fcn_FD.R, trans.m, shocks_FD.R, and dgp_FD.R files. The remaining files are data files. See program file for details about the data files.

It may be necessary to add the numDeriv and ucminf packages to R in order to run the code.

Note: the calculation of Huber-White SEs will differ from one computer or program to the next due to precision issues with numerical derivatives.

James Morley

Email: james.morley@sydney.edu.au

This version: 11 November 2020