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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.

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Paul Söderlind's finance/econ codes

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