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:
GAORestate.xls 
MSExcel 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. This website uses https which, unfortunately, does not 'get along' well with Stata and prevents using the "net from" commands for direct install. You can install any of the following programs individualy by copying the relevant .ado and .hlp files to your ado directory. You can find the directory by typing "personal" into the Stata command line.
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 
BaxterKing (1995) bandpass filter for time series. 
xtfmbJ.ado, xtfmbJ.hlp 
FamaMacBeth (1973) regressions with options to weight by number of observations as proxy for precision of the years' estimates and an option to use a NeweyWest correction for serial correlation in coefficient estimates. 
cgmreg.ado,
cgmreg.hlp,
cgmregF.ado,
cgmregF.hlp,
cgmlogit.ado,
cgmlogit.hlp,
cgmflogit.ado,
cgmflogit.hlp,
cgmwildboot.ado,
cgmwildboot.hlp

Implementation of various estimation commands with multiway clustered standard errors as in Cameron, Gelbach and Miller (2010 Journal of Business and Economic Statistics). Also see Petersen (2009 Review of Financial Studies). Commands include linear regression (cgmreg), linear regression with Fieller (1954) confidence intervals on coefficient ratios (cgmregF), logit (cgmlogit), fractional logit (cgmflogit) and regression with bootstrapped pvalues (cgmwildboot  See Cameron, Gelbach and Miller, 2008 Review of Economics and Statistics).
 cgmwildboot updated 20130906  Updated 20140219 to deal with dropped variables (e.g., fixed effects dropped due to collinearity)  Updated cgmwildboot 20140326 to fix error introduced by prior fix for dropped variables  Updated cgmreg 20140703 to disallow pweight  Updated cgmwildboot 20150310 to fix pvalues (e.g., program looks at uppertail for pvalues of positive coefficients, and this was giving pvalues greater than one when the coefficient was in the bottom half of the bootstrap distribution)

regFieller.ado, regFieller.hlp 
OLS regressions with confidence intervals for ratios of regression coefficients based on Fieller's theorem (more robust than delta method)  Updated 20140219 to deal with dropped variables (e.g., fixed effects dropped due to collinearity) 
shumhaz.ado, shumhaz.hlp

Shumway (2001) hazard model estimates, which uses a standard logit routine and corrects the chisquared statistics for the average number of observations per crosssectional unit.
 Updated 20140210 to include option lroc to report area under ROC curve

mishkin.ado 
Implementation of Mishkin (1983) rational expectations tests. See comments in the ado file for syntax. 
vuong.ado,
vuong.hlp

Computes Vuong (1989 Econometrica) test of two nonnested 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 ttests for difference in means and chisquared test for difference in medians. 
ttesttable.ado 
Generates LaTeX code for a table that displays means and ttests for a set of variables grouped by a binary indicator. 
Utilities:
bpagan2.ado 
BreuschPagan test of heteroskedasticity. 
collapseJ.ado 
Variant of STATA's collapse command that preserves variable labels. 
ffind.ado, ffind.hlp

Creates FamaFrench industry classifications based on SIC codes 
prchgJ.ado 
Computes estimated change in probabilities for userspecified 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. 

