looks to be the next standard text for PhD econometrics. It has a number of empirical examples (in R, Stata and matlab), with code and data here: Bruce Hansen's Econometrics
It shouldn’t be too hard to port the matlab code to Julia. In case you are interested in contributing, reply here and we might be able to get this done. (And yes, Hansen has said that he is happy to see this done.)
I may be interested, if the book compares well to Cameron and Trivedi’s Microeconometrics, which is the book I’ve been recommending to students for many years.
A short update. There seems to be matlab files for chapters 3,4,8 and 10. I have made crude “translations” of those. Pretty much line for line, with a few small tweaks when crucial (like avoiding some 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. Anyhow, I’ll post what I have soon.
EDIT: Now available in this repository
Bought the book. Nobody warned me about the size. Huge! It took over the title of largest book on my shelf!