Data Programs
I. SOFTWARE I keep some of my code on github: FinanceRoutines.jl A package for importing and processing financial market data in juli WRDS, CRSP, Ken French data library, New York Fed Yield Curve, ... BazerData.jl A package with common data functions for finance and economics (tabulate, winsorize, etc.) BazerUtils.jl A package with useful (to me) utilities in julia 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 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 How Competitive is the Stock Market? Official replication code for our project List of our passive investors classification for each quarter List of our stock-level elasticity estimates for each quarter
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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