Downloads – Seth Pruitt

Maintained Software

Code I actively develop and maintain.

IPCA Python

Python implementation, building off of the IPCA estimator (Kelly, Pruitt, and Su 2019).

GitHub pip install git+https://github.com/sjpsjpsjp/ipca.git

Code and data for published and working papers, as released alongside each paper.

Kelly, Palhares, and Pruitt (2023) Journal of Finance

Code and Data

Kelly, Moskowitz, and Pruitt (2021) Journal of Financial Economics

Code and Data

Pruitt and Turner (2020) American Economic Review: Insights

Code and Data

Kelly, Pruitt, and Su (2019) Journal of Financial Economics

Code and Data Corrigendum

Kim and Pruitt (2017) Journal of Money, Credit and Banking

Code and Data

Giglio, Kelly, and Pruitt (2016) Journal of Financial Economics

Data Code

Kelly and Pruitt (2015) Journal of Econometrics

Code Web Appendix Errata

Jaimovich, Pruitt, and Siu (2013) American Economic Review

Data and Code

Kelly and Pruitt (2013) Journal of Finance

Code Data

Hamilton, Pruitt, and Borger (2011) American Economic Journal: Macroeconomics

Web Appendix Data and Code

Kelly, Pruitt, and Su working paper

Example MATLAB code Python GitHub

Kelly and Pruitt

Publicly available data