Econometrics and R

Econo­me­tri­cians seem to be rather slow to adopt new meth­ods and new tech­nol­ogy (com­pared to other areas of sta­tis­tics), but slowly the use of R is spread­ing. I’m now receiv­ing requests for ref­er­ences show­ing how to use R in econo­met­rics, and so I thought it might be help­ful to post a few sug­ges­tions here.

A use­ful on-​​line and free resource is “Econo­met­rics in R” by Grant Farnsworth. It cov­ers some com­mon econo­met­ric meth­ods includ­ing het­eroskedas­tic­ity in regres­sion, pro­bit and logit mod­els, tobit regres­sion, and quan­tile regres­sion. In the time series area, it cov­ers ARIMA, ARFIMA, ARCH and GARCH mod­els, as well as a few of the stan­dard tests for unit roots and auto­cor­re­la­tion. It’s brief but it does pro­vide code that will help peo­ple famil­iar with econo­met­rics to get started using R.
If you are pre­pared to pay, an excel­lent book is Kleiber and Zeilis’s Applied Econo­met­rics with R. It cov­ers sim­i­lar ground to Farnsworth but in more detail. This is the book I usu­ally rec­om­mend to any­one with an econo­met­rics back­ground who is want­ing to get started with R. It would also be very suit­able for some­one study­ing econo­met­rics at about upper under­grad­u­ate level. Achim Zeileis is a well-​​known expert in R pro­gram­ming, so you can be sure the code in this book is effi­cient and well-​​written.
Another use­ful book is Pfaff’s Analy­sis of Inte­grated and Coin­te­grated Time Series with R which cov­ers unit root tests, coin­te­gra­tion, VECM mod­els, etc.
Vinod’s Hands-​​On Inter­me­di­ate Econo­met­rics Using R con­tains a lot of exam­ples and code-​​snippets which can be very help­ful. Unfor­tu­nately, the exam­ples do not always show the best prac­tice in R coding.
More detailed case stud­ies using R are pro­vided in Advances in Social Sci­ence Research Using R, edited by H.D. Vinod. Many of the case stud­ies are from econo­met­rics includ­ing an excel­lent chap­ter by Bruce McCul­lough on econo­met­ric computing.

There are of course dozens of books on R with a more sta­tis­ti­cal per­spec­tive, includ­ing sev­eral on time series. But I will leave them for another post.

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  • Jeromy Anglim

    I agree. The UseR series is very good. The books can be a lit­tle on the short side. But they do tend to pro­vide good instruc­tions of how to actu­ally use sta­tis­ti­cal meth­ods in R. In par­tic­u­lar, I really liked Kleiber and Zeilis’s Applied Econo­met­rics with R. In addi­tion to pre­sent­ing many use­ful sta­tis­ti­cal tech­niques the book includes great exam­ple datasets and a good dis­cus­sion of repro­ducible research.