Julia as a universal platform for statistical software development

Abstract

The julia package integrates the Julia programming language into Stata. Users can transfer data between Stata and Julia, issue Julia commands to analyze and plot, and pass results back to Stata. Julia's econometric ecosystem is not as mature as Stata's or R's or Python's. But Julia is an excellent environment for developing high-performance numerical applications, which can then be called from many platforms. For example, the boottest program for wild bootstrap-based inference (Roodman et al. 2019) and fwildclusterboot for R (Fischer and Roodman 2021) can use the same Julia back end. And the program reghdfejl mimics reghdfe (Correia 2016) in fitting linear models with high-dimensional fixed effects while calling a Julia package for tenfold acceleration on hard problems. reghdfejl also supports nonlinear fixed-effect models that cannot otherwise be fit in Stata--though preliminarily, as the Julia package for that purpose is immature.