For a recent revision, I have had to dig into TAQ data; I did not want to use SAS and I thought a combination of command line unix tools and julia would be easy. I learned a few things!
I have been asked how to set up a simple Julia IDE (not VSCode) for people who are already using Sublime Test. There are a few things that need to line up for it to work smoothly. I wrote these steps down.
A guide for moving between Julia’s DataFrames.jl and R data.table. This follows the template of stata2r and gives side by side matches of common operation for data wrangling.
There are (were?) some issues with F-statistics estimation in stata for IV regressions. We simulate data to reproduce the problem and present a fix in the julia FixedEffectModels.jl library.