This is the readme file that describes the replication package (the files in this zip file) for Barlevy and Fisher (2020)’s Tables 1-11, and Figures 1, 3 and 4. The McDash data to reproduce Table 1 is proprietary and so not included in the replication package. The McDash-DataQuick merged data necessary to reproduce Tables 8 and 11 is proprietary and so is not included in the replication package. We provide a document that shows the algorithm to perform the merge of McDash and DataQuick. The McDash and DataQuick data is licensed to the Federal Reserve Bank of Chicago. We also provide the program that derives the dependent variables in the regressions reported in Tables 8 and 11 from the McDash-DataQuick merged data. 

All programs run in STATA v15.1. Approximate program run times in [] program name. Run times on HP Elitebook with Intel i7-7600 @2.8GHz, 16 GB RAM with Windows 10 Enterprise v1709. The code that points to directories containing the provided data needs to be edited for the programs to run. The programs that reproduce Tables 1, 8 and 11 will not run without the propriety data that we cannot share. 

Mortgage Characteristics Directory

The program mortgage-characteristics-table.do [40s] recreates Table 1 but the McDash data necessary to run the program is not provided (see above). 

City Cross Section Directory

Tables subdirectory: 

Create Tables 2-6 and 9-10 by running make-cross-section-tables.do [50s]. This needs STATA extension outreg to run. There are 2.5 seconds between regressions because of a read/write issue with outreg. This file does not recreate all the exact tables in paper but the tables created by the program contain all the information in those tables. The tables that are not identical to the paper can be rearranged with a text editor and knowledge of latex to reproduce the actual papers in the paper.

Figures subdirectory:
Create pdf Figures 1 and 4 just as in paper by running make-cross-section-figures.do [5s].

City Panel Directory

Tables subdirectory:
Information to make Table 7 is found by running table-7-information.do [1s] with correct directory for the data. This program needs the STATA extension abar to run. 

Figures subdirectory:
Create pdf Figure 3 just as in paper running make-figure-3.do 9 [2s].


Mortgage Panel Directory

Dervied  Data subdirectory:
The STATA program make_data.do [5m 45s] was used to create cumhpi_ready_23_Aug_2018.dta which is derived from underlying merged McDash-DataQuick mortgage level data. We are not permitted to share the underlying merged data and so neither are we permitted to share cumhpi_ready_23_Aug_2018.dta. The document Documentation on Matching DataQuick and McDash.pdf shows the algorithm used to construct the merged dataset from the propriety data licensed to the Federal Reserve Bank of Chicago.  The program uses cbsa_fips_cwalk.dta and hpi.dta which are included here. These data are described in the paper's Data Appendix. STATA add on unique must be installed.

Tables subdirectory:
The programs LPM_refis_table.do [75s] and LPM_sales_and_defaults_table.do [60s] reproduce Tables 8 and 11, respectively, with cumhpi_ready_23_Aug_2018.dta that. Because we cannot share the data these programs to not run.