1. Introduction In this note, I outline the results in Budish (2011)[1. Website: Eric Budish at Chicago Booth.] for a presentation in Prof. Sargent's reading group. Here are the slides themselves. This paper introduces a new concept for clearing … [Continue reading]

# Financial Econometrics Software

1. Introduction In this note I outline the basic facts and rules of thumb about financial econometric software that is relevant for Rob Engle's Fall 2011 Financial Econometrics (2) PhD course.[1. As always, the usual disclaimer applies: these are my … [Continue reading]

# Understanding Long Run Regressions using the Wave Function

1. Introduction In this post, I show how long run predictive regressions like the ones studied in Fama and French (1988) or Campbell (2003) can be understood using the wave function, a second order partial differential equation, rather than sums of … [Continue reading]

# Geometric Interpretation of Noisy Rational Expectations Equilibrium

1. Introduction In this post, I solve a simple noisy rational expectations equilibrium model from Grossman and Stiglitz (1980) and then give a geometric interpretation of their result. First, in Section 2 I set up and solve a noisy rational … [Continue reading]

# Storing CRSP-COMPUSTAT Data Using MongoDB

In this note, I show how to set up a local Mongo DB database to house CRSP-COMPUSTAT data. I grew tired of having to use SAS to access these data on the WRDS server. The coding language is difficult to use and the server is not particularly … [Continue reading]