Data Programs


I. SOFTWARE

I keep some of my code on github:

  TigerFetch.jl
    A package for downloading TIGER/Line shapefiles from the U.S Census

  esync
    A python utility to live sync a local folder to a remote

  FinanceRoutines.jl
    A package for working with WRDS CRSP and Compustat data in julia

  Prototypes.jl
    A package gathering useful functions for working with data and doing things in julia

  FixedEffectjlr
    R wrapper for Matthieu Gomez's FixedEffectModels julia package
    to estimate large fixed effects models
    (I do not maintain it anymore, so it is best to use the julia package directly)

  entrydatar
    R package to download data from the BLS: QCEW, BED and CBP

  RiskPremium
    Repository to keep our measure of the Equity Risk Premium up to date
    Download the data (csv)

  olsgmm
    The famous olsgmm function for use in R
    (the matlab original is on John Cochrane's website)



II. DATA AND REPLICATION FILES

  Buyout and risk premium data for:
      Buyout Activity: the Impact of Aggregate Discount Rates
      Download excel file format, csv file format or stata file format
      Download stata or R replication files

  Globalization Risk Premium data and replication files:
      Globalization factor and firms' exposure to Import Competition
      Full set of replication files for the Journal of Finance

  State and Local Government Employment in the COVID-19 Crisis:
      Replication code for our project
      Full set of replication files and data

  Import Competition and Household Debt:
      Full set of replication files and data

  Bubbles and the Value of Innovation:
      Replication code for our project


III. TEACHING RESOURCES

I recorded a few short videos on youtube for courses on:
    1. Portfolio management (efficient frontier)
    2. Options and derivatives (no arbitrage, replications, and binomial pricing)


Some resources for my introduction to Asset Pricing PhD Course



IV. OTHER

  A guide to use julia DataFrames.jl when coming from R data.table

  A note on the failure of some statistical packages in Stata to compute
  first-stage F-statistics (last updated April 2021)

  List of examples of figures for economics using TikZ and PGFPlots



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