Quotation Kleiber, Christian, Zeileis, Achim. 2008. Applied Econometrics with R. New York, USA: Springer.




Empirical research in economics commonly utilizes programming languages such as GAUSS or, more recently, Ox, as well as packages of canned routines such as EViews, RATS or TSP, to mention a few. The authors believe that R, with its flexibility, object orientation and superior graphics, has great potential in econometrics. However, there appear to be at least two obstacles: First, R is being developed from the point of view of mainstream statistics, often using terminology unfamiliar to many econometricians (e.g., generalized linear models). This creates the impression, as may be witnessed on R-help, that some methods are unavailable in R, while in fact they just appear under different names. Second, classical statistics stems from the analysis of randomized experiments, while observational data are the rule in economic applications. This implies that modifications of classical procedures are required, some of which still need implementation in R. The talk will report on the current status of Kleiber and Zeileis (2006), the first book on R exclusively devoted to econometric applications. Some gaps in R will be identified, notably models for panel data and some branches of microeconometrics.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Book (monograph)
Language English
Title Applied Econometrics with R
Location New York, USA
Publisher Springer
Year 2008
ISBN 978-0-387-77316-2


Zeileis, Achim (Former researcher)
Kleiber, Christian (Universit├Ąt Basel, Switzerland)
Institute for Statistics and Mathematics IN (Details)
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