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    	Ekkehart Boehmer, Joachim Grammig and Erik Theissen (2007):

    	Estimating the probability of informed trading—does trade misclassification matter?

	Journal of Financial Markets

	Volume 10, Issue 1, February 2007, Pages 26-47


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Contact:
========

Ekkehart Boehmer, Mays Business School, Texas A&M University, College Station, TX 77843-4218, USA
Joachim Grammig, Department of Economics, University of Tübingen, Mohlstreet 36, 72074 Tübingen, Germany
Erik Theissen, University of Bonn, BWL I, Adenauerallee 24-42, 53113 Bonn, Germany


The programs can be freely used for academic purposes if
the source is acknowledged.


To run the programs copy the contents of the zip file in a
directory. Retain the paths structure



1. Files:
=========


bgt2007.prg:			main program

exampledata.fmt:		example data. Contains SOD and TAQ buys and sells of one stock.

outresult_mat.fmt:		contains the results of the ML estimation. The matrix with the results is constructed as
				follows:
				
				model ~ stock ~ retcode ~ alpha ~ epsilon ~ delta ~ mu ~ PIN
				~ SE(alpha) ~ SE(epsilon) ~ SE(delta) ~ SE(mu) ~ SE(PIN) ~ Buys ~ Sells

bgt2007.src:			auxiliary program containing the maximum likelihood function and other procedures.



2. Requirements:
================


The program requires the GAUSS constraint maximization package.