Using R to Teach Econometrics

Jeff Racine, Rob J Hyndman
(2002) Journal of Applied Econometrics 17(2), 149-174


R, an open-source programming environment for data analysis and graphics, has in only a decade grown to become a de-facto standard for statistical analysis against which many popular commercial programs may be measured. The use of R for the teaching of econometric methods is appealing. It provides cutting-edge statistical methods which are, by R’s open-source nature, available immediately. The software is stable, available at no cost, and exists for a number of platforms, including various flavors of Unix and Linux, Windows (9x/NT/2000), and the MacOS. Manuals are also available for download at no cost, and there is extensive on-line information for the novice user. This review focuses on using R for teaching econometrics. Since R is an extremely powerful environment, this review should also be of interest to researchers.

Keywords: exponential smoothing, forecasting competitions, state space models.

Examples: All code and output files used in this review can be obtained from the JAE Data Archive.