Data and code

You can find the replication files with data and code of some of my papers at the following links:

• Inference in Group Factor Models with an Application to Mixed Frequency Data (Econometrica, 2019)

• Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets (Econometrica, 2016)

• Nonparametric Instrumental Variable Estimation of Structural Quantile Effects (Econometrica, 2012)

• Efficient Derivative Pricing by the Extended Method of Moments (Econometrica, 2011)