Code is for GAUSS (.gss)

Run qmle_CMS.gss to conduct QMLE estimation for the BPP model in levels with the option of a bootstrap bias correction. Run qmle_CMS_FD.gss to conduct QMLE estimation for the BPP model in first differences with the option of a bootstrap bias correction.

The remaining files are data files with BPP data to be put in the same working directory as the program file. See program files for details about the data files.

James Morley

Email: james.morley@sydney.edu.au

This version: 11 November 2020