---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- 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 ---------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------- 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.