Readme for PaulSoderlindCode

This repository has the following separate sub projects:

1. AssetPricingTest: Julia code for asset pricing test

2. DriscollKraay: Julia code for panel regressions with Driscoll-Kraay standard errors

3. FittingNfromHist: Julia code for fitting N(mu,sigma2) from a histogram

4. LStar: Julia code for LSTAR regressions

5. NelsonSiegel: Julia code for estimating the extended Nelson-Siegel model

6. 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.