hreadme.txt
==========

This folder contains the GAUSS programs and data
used for "Creative Destruction and Asset Prices"

TwoPassGMM_All_JFQA_v2.prg: the front-end program that can be used to replicate all results except the bootstrap.
Please take a look at the comments in the file on how to change the settings.

Bootstrap_TwoPassGMM_JFQA_v2.prg: the front-end program that produces the bootstrap results.
Change the global variable freq for a different frequency, model for a different model
and testassets for different test assets (details in the comments to the program)

The default setting produces the results for the CDRM at annual frequency using
value-weighted size and book-to-market test assets.
(model=3, freq=1, testassets=1)

Two_Pass_Regression_GMM_JFQA.run: is included by the two front-ends. It contains code that
is the same for all models.

GMM_NCB_Collection_JFQA_v2.src: contains the procedures that are used by the front-ends. 
The file is included by them such that the procedures can be used.

Data_Input_GMM_All.run: also included by the two front-ends. The code reads in the data and 
prepares them such that they can be used.

complete_A.xls Annual data in EXCEL format
complete_Q.xls Quarterly data in EXCEL format
complete_A.fmt Annual data in Gauss .fmt format
complete_q.fmt Quarterly data in Gauss .fmt format

readme.txt: this file

Windows GAUSS users
Copy the .zip file in a folder and unzip the contents in that folder. open GAUSS and change
the working directory to that path. open the .prg file and run it

Linux users:
unzip .zip file in a folder and change to that folder and start gauss from it. run the .prg files.

Note that the run of the bootstrap files takes a while. The number of bootstrap replications is
set to 4999.
 