This repository has the following separate sub projects:
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AssetPricingTest: Julia code for asset pricing test
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DriscollKraay: Julia code for panel regressions with Driscoll-Kraay standard errors
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FittingNfromHist: Julia code for fitting N(mu,sigma2) from a histogram
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LStar: Julia code for LSTAR regressions
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NelsonSiegel: Julia code for estimating the extended Nelson-Siegel model
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SolvingReModels: Julia code for solving RE models
To download use "Download ZIP" (upper right). This gives you a zip file with all the subfolders. (No, as of yet there is no simple way of downloading a single subfolder.)
The code typically follows my lecture notes/papers. So far, there are few attempts at speeding up or error checking.
A remark on the code (Aug 2022): much of this code was ported from Matlab in my early Julia days --- and it shows. There is plenty of room for improvements.