Regression Workflow

Specific Domains Finance and Economics
1

Hi everyone,

So far I did not succeed in moving my empirical workflow to Julia:

Data cleaning (Query.jl/DataFrames.jl) → Regression (GLM.jl) → Custom Standard Errors (CovarianceMatrices.jl) ??? Latex-Regressiontable (RegressionTables.jl)

The step that I fail at is to use standard custom errors (e.g. HAC) for my regression tables. Being able export tables only using iid standard errors is not really useful. So far I have not seen a solution to this problem in Julia.

What I would do in R is

# Return regression
regression_model     <- lm(Y~ X1+ X2, data = data)
regression_model_2 <- lm(Y~ X1+ X3, data = data)

notes = c("\\parbox[t]{7cm}{" I am using custom standard errors"})

se_new     = sqrt(diag(vcovHC(regression_model )))
se_new_2 = sqrt(diag(vcovHC(regression_model_2 )))

stargazer(regression_model, regression_model_2 
          out = paste("RegressionTable" ,spec, ".tex", sep=""), title="Regression", 
          se = list(se_new, se_new_2))

Is there any way to do the same in Julia? Maybe people use different packages, that I am not aware of.

Thank you very much!

2

Unfortunately, it looks like RegressionTables.jl doesn’t have tis functionality. I think you would have to dev RegressionTables.jl and modify this line to add that ability.

This is definitely frustrating, and shows what features julia is lacking compared to R right not.

Another reason clustering (and specification of errors in general) should be in the model-fitting process and not after.

3

HAC for my regression tables

It looks like you do linear regressions. If so, this notebook, aimed at teaching financial econometrics shows how to do White’s and Newey-West.

6 Likes
4

OP can implement the variance-covariance matrix easily using CovarianceMatrices.jl. the problem is that when printing them to a latex table they have to let RegressionTables.jl know to use the variance-covariance matrix they provided.

4 Likes
5

It does not sound like something awefully difficult to do. Is anyone interested to have a look together with me?

6

I filed an issue here. If the package author thinks its a good thing to add it shouldn’t be too hard to make a PR.

7

Thank you, it might be an option to include the necessary functionality in CovarianceMatrices.jl, there is an issue here.

1 Like