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Disclaimer: I am providing these data and programs without warranty. That said, please contact me if you discover any errors in them so that I can post corrected versions on my web site.
Data:
| GAO restatement |
MS-Excel spreadsheet listing accounting restatements collected by the General Accounting Office (GAO). The sheet lists the dates of the restatement announcements (NOT the periods restated), the prompter(s) of the restatements and the reason(s) for restatements as listed in the GAO reports. The sheet has a description tab with links to PDF files of the reports listed on the GAO web site. |
Programs:
The .ado files are STATA programs, the .m files are MATLAB programs and the .sas files are SAS programs. Some of the programs require that you have other programs installed. If you encounter an "unrecognized program: <program name>" error in STATA, you can type "findit <program name>" to try to find the missing program on line. You can also type "net from http://personal.anderson.ucla.edu/judson.caskey/programs" in the STATA command line to view and/or select STATA programs to directly install.
See the UCLA Academic Technology Services' excellent statistical computing website http://www.ats.ucla.edu/stat/overview.htm for a variety of examples and references. Also see the programs on the Michigan Accounting PhD web site.
Estimating equations:
| bking2.ado |
Baxter-King (1995) bandpass filter for time series. |
| xtfmbJ.ado, xtfmbJ.hlp |
Fama-MacBeth (1973) regressions with options to weight by number of observations as proxy for precision of the years' estimates and an option to use a Newey-West correction for serial correlation in coefficient estimates. |
cgmreg.ado,
cgmreg.hlp,
cgmregF.ado,
cgmregF.hlp,
cgmlogit.ado,
cgmlogit.hlp,
cgmflogit.ado,
cgmflogit.hlp |
Implementation of various estimation commands with multi-way clustered standard errors as in Cameron, Gelbach and Miller (2006 NBER working paper). Also see Petersen (2009 RFS). Commands include linear regression (cgmreg), linear regression with Fieller (1954) confidence intervals on coefficient ratios (cgmregF), logit (cgmlogit) and fractional logit (cgmflogit). |
| regFieller.ado, regFieller.hlp |
OLS regressions with confidence intervals for ratios of regression coefficients based on Fieller's theorem (more robust than delta method). |
shumhaz.ado, shumhaz.hlp |
Shumway (2001) hazard model estimates, which uses a standard logit routine and corrects the chi-squared statistics for the average number of observations per cross-sectional unit. |
| mishkin.ado |
Implementation of Mishkin (1983) rational expectations tests. See comments in the ado file for syntax. |
| olsKeaneJ.m |
Estimates regression using Keane and Runkle (1998) covariance matrix that adjusts for cross-sectional correlation under the assumption of no serial correlation |
| olspanelJ.m |
Computes OLS regression for panel data with fully robust standard errors (See Wooldridge (2002), eqn. (7.26)). |
| olsPanelKeaneJ.m |
Combination of the above two - Keane and Runkle (1998) correction across panels and fully robust standard errors within panels. |
vuong.ado,vuong.hlp
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Computes Vuong (1989 Econometrica) test of two non-nested regressions as implemented and described in Dechow (1994 Journal of Accounting and Economics). Syntax is "vuong mod1 mod2" where mod1 and mod2 are stored regression results. |
Descriptive statistics:
| corrtbl.ado |
Creates correlation matrix for a list of variables with Pearson correlations below the diagonal and Spearman correlations above. |
| counttex.ado |
Generates LaTeX code for a frequency table. |
| summstattable.ado |
Generates LaTeX code for a table of summary statistics for a set of variables grouped by a binary indicator. Also reports t-tests for difference in means and chi-squared test for difference in medians. |
| ttesttable.ado |
Generates LaTeX code for a table that displays means and t-tests for a set of variables grouped by a binary indicator. |
Utilities:
| bpagan2.ado |
Breusch-Pagan test of heteroskedasticity. |
| collapseJ.ado |
Variant of STATA's collapse command that preserves variable labels. |
| ffind.ado |
Creates Fama-French industry classifications based on SIC codes |
| prchgJ.ado |
Computes estimated change in probabilities for user-specified changes in variables following logit/probit estimation. |
| prvalueJ.ado |
Computes predicted probabilties and confidence intervals following logit/probit estimation. |
| truncateJ.ado |
Creates an indicator variable that identifies observations for which a set of variables are within specified cutoffs. |
| winsorizeJ.ado |
Winsorizes variables, allowing, for example, within year truncation points |
| xtileJ.ado |
Computes a variable that contains quantiles. The command is similar to STATA's xtile command except that xtileJ allows 'by' groups. This program runs much more quickly than the xtile2 command that allows 'by' groups. |
| judson.sty |
LaTeX style file with a bunch of functions in it for typesetting equations and so on. |
| Math mode macros |
Shortcuts for people who use WinEdt to edit tex files (e.g. type "`a" to get "\alpha", "`^" to get "\hat{*}"). |
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