I have made a major update of my financial econometrics repository, aimed at late MA/early PhD students in finance. It covers things from OLS to quantile regressions (via MLE, GMM, kernel regressions). Each chapter is a small empirical project, using files from local modules. In general, the functions for the econometric methods are coded so as to be easy to read (learn), while speed is not the main focus.
Paul, thanks for putting this out there. I have benefitted and I am sure many others have as well.