Is Campbell, Lo, and MacKinlay Available?

Rodent1 · Unread post by **Rodent1** » Mon Feb 19, 2007 9:56 pm

Hi I'm a new RATS user. I'm wondering if anyone has any code & data for:

The Econometrics of Financial Markets. by Campbell, Lo, and MacKinlay

I thought I give it a try. I guess if it were available, it would be posted on RATS website.

Thanks,
-F.

TomDoan · Unread post by **TomDoan** » Fri Apr 20, 2007 11:06 am

I would love to be able to post the Campbell, Lo, MacKinlay examples. Unfortunately, most of the data from their examples were taken from CRSP, which has not been willing to give a release, even though these are data sets more than 10 years old. And even though big chunks of CRSP data are already circulating without attribution.

Rodent1 · Unread post by **Rodent1** » Wed May 09, 2007 10:19 pm

Your heart's in the right place... Going through code examples is my favorite way of learning new econometrics. Thanks for the good work.