Data Programs


I. SOFTWARE

I keep some of my code on github:

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

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

  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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