Data for Deviations from the Law of One Price: A Non-bilateral Perspective

Published: 6 August 2021| Version 1 | DOI: 10.17632/w7hg333rwj.1
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Description

Description of data and codes used to create the estimation results in "Deviations from the Law of One Price: A Non-bilateral Perspective" by Feng Ling, Li Jianan, Li Zhiyuan and Sun Puyang. Please refer to the readme-file for more details about the do-file and datasets. The names of the variables in this file are self-explanatory, the variables are also labeled, and they as well as the data sources are described in the main text of the paper.

Files

Steps to reproduce

In the do_file folder, do_file_for_replication.do is the Stata program (version 16) that loads in .dta files and replicates all tables and figures of the main paper. While running this program, all figures and table contexts, and a log file with all raw results will be generated and saved in the results folder. In the data folder, three graph data files (i.e., Figure_1.dta, Figure_2.dta and Figure_3.dta) contain all the variables necessary to replicate the figures. Seven data sets are provided to replicate all the tables, and their names are labeled as the tables’ names. For Table 1 and 2, the descriptive summaries in the table will be given in the Stata main-screen while the corresponding data is run by the do-file. From Table 3 to 14, all the regression results are replicated as the table output separately. In the results folder, there is a log file, Replication results log file.txt, including all raw result output, and there are all the replicated figures and Table 3 to 14. The context of Table 1 and 2 can be found in the beginning of log file. While running the do_file in the do_file folder, the new replication results will be generated and replaced the original context.