Thanks for your suggestions! 
So far using GLM and pool!() with a list of categorical variables works 
fine for me. 

On Wednesday, October 1, 2014 5:27:33 PM UTC+3, John Myles White wrote:
>
> Currently, the way to do this is via the GLM package (or at least its 
> strategy for generating design matrices), which handles indicators for you.
>
> Lots of improvements are possible, but we need better categorical data 
> support at a lower level before we can work on the improvements: 
> https://github.com/johnmyleswhite/CategoricalData.jl
>
>  — John
>
> On Oct 1, 2014, at 6:22 AM, Stefan Karpinski <[email protected] 
> <javascript:>> wrote:
>
> Probably a better question for julia-stats, but there's also likely some 
> people here who can answer.
>
> On Wed, Oct 1, 2014 at 4:23 AM, Andrei <[email protected] <javascript:>
> > wrote:
>
>> Probably simple question, but I can't find any reference. 
>>
>> What is the most convenient way to convert categorical variable to a set 
>> of dummy vars? 
>> So far I've been using 
>>
>>    int(indicatormat(df[:categoricalvar]))
>>
>> but it's pretty annoying to do it for every variable, give every 
>> indicator a name, resolve collinearity, etc. 
>> Is there any standard way to do these operations? 
>>
>
>
>

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