196sigma / biz-uncertainty Goto Github PK

Measuring aggregate business uncertainty from firms' filings (10-K's.)

• uncertainty-summary-statistics.R: Plots and descriptive stats for uncertainty measures

  • 'report/figures/bunc-by-quarter.jpeg'

• xs-summary-statistics: uncertainty by quintiles of accounting variables across the entire sample period

  • 'report/figures/punc-by-at-xs.jpeg'
  • 'report/figures/punc-by-at-ts.jpeg'

• accounting-aggregates.R: Make time-series plots of the aggregate accounting variables of interest (ROA, RD, INVEST)

  • 'report/figures/roa-ts.png'
  • 'report/figures/rd-ts.png'
  • 'report/figures/invest-ts.png'
  • summary-statistics.R

• ts-analysis.R: Trend, seasonality, and business cycle analysis, stats, and plots

  • 'report/figures/nunc-acf.png'
  • 'report/figures/punc-acf.png'
  • 'report/figures/roa-acf.png'
  • 'report/figures/invest-acf.png'
  • 'report/figures/rdearn-acf.png'
  • 'report/figures/rdsales-acf.png'
  • 'report/figures/rdeq-acf.png'

• nunc-var.R: Vector autoregression analysis and plots for NUM_UNC variable

• punc-var.R: Vector autoregression analysis and plots for PCT_UNC variable

• xs-ols-validation.R: Cross-sectional validation (regression of uncertainty measure on controls)

  • 'report/tables/punc-xs-ols.tex'

• ols-forecast-roa.R

  • 'report/tables/ols-forecast-roa.tex'

• ols-forecast-rd.R

  • 'report/tables/ols-forecast-rd.tex'

• ols-forecast-invest.R

  • 'report/tables/ols-forecast-invest.tex'

• xs-ols-tests.R: Cross-Sectional Regressions and Forecasts

  • report/tables/bunc-xs-ols-tests.tex
  • report/tables/bunc-xs-ols-forecasts.tex