This repository contains Julia files for some chapters in Bruce E. Hansen's Econometrics. They have (with the author's permission) been ported from the matlab files for some chapters. Those original files and the data are found at Hansen's website. The code here assumes that the data files are in the subfolder "Data" and that a subfolder "Results" is writable.
The "translations" are pretty much line for line, with a few small tweaks when crucial (like avoiding some of the allocations in bootstrap simulations). That could be a start, at least since it probably mirrors the author’s intended approach. On the other hand, this could be rewritten in a much more Julian way. Maybe that could be round 2. Please let me know (or make a PR) if you want to contribute.
The Julia files use either the .txt or the .dta data files. To load the latter, the ReadStatTables.jl package is used.
- printmat.jl contains some functions for pretty-printing matrices.
- ExtraFunctions.jl and UtilityFunctions.jl contain some functions for reshuffling data etc.