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Econometrics in R: Past, Present, and Future

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  • Achim Zeileis
  • Roger Koenker

Abstract

Recently, computational methods and software have been receiving more attention in the econometrics literature, emphasizing that they are integral components of modern econometric research. This has also promoted the development of many new econometrics software packages written in R and made available on the Comprehensive R Archive Network. This special volume on "Econometrics in R" features a selection of these recent activities that includes packages for econometric analysis of cross-section, time series and panel data. This introduction to the special volume highlights the contents of the contributions and embeds them into a brief overview of other past, present, and future projects for econometrics in R.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Statistical Software.

Volume (Year): 27 ()
Issue (Month): i01 ()
Pages:

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Handle: RePEc:jss:jstsof:27:i01

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Web page: http://www.jstatsoft.org/

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References

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  1. Achim Zeileis & Friedrich Leisch & Kurt Hornik & Christian Kleiber, . "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, American Statistical Association, vol. 7(i02).
  2. Rob J. Hyndman & Yeasmin Khandakar, 2007. "Automatic time series forecasting: the forecast package for R," Monash Econometrics and Business Statistics Working Papers 6/07, Monash University, Department of Econometrics and Business Statistics.
  3. Tristen Hayfield & Jeffrey S. Racine, . "Nonparametric Econometrics: The np Package," Journal of Statistical Software, American Statistical Association, vol. 27(i05).
  4. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(i02).
  5. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
  6. Simon Jackman & Christian Kleiber & Achim Zeileis, 2007. "Regression Models for Count Data in R," Working papers 2007/24, Faculty of Business and Economics - University of Basel.
  7. Arne Henningsen & Jeff D. Hamann, . "systemfit: A Package for Estimating Systems of Simultaneous Equations in R," Journal of Statistical Software, American Statistical Association, vol. 23(i04).
  8. Roger Koenker, . "Censored Quantile Regression Redux," Journal of Statistical Software, American Statistical Association, vol. 27(i06).
  9. Bernhard Pfaff, . "VAR, SVAR and SVEC Models: Implementation Within R Package vars," Journal of Statistical Software, American Statistical Association, vol. 27(i04).
  10. Achim Zeileis, . "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, American Statistical Association, vol. 16(i09).
  11. Cribari-Neto, Francisco & Zarkos, Spyros G, 1999. "R: Yet Another Econometric Programming Environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 319-29, May-June.
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Cited by:
  1. Lupi, Claudio, 2011. "Panel-CADF Testing with R: Panel Unit Root Tests Made Easy," Economics & Statistics Discussion Papers esdp11063, University of Molise, Dept. EGSeI.

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