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Econometrics with R

“R is a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS.”

The R Project for Statistical Computing

R is considered an implementation of the S language

A brief history of me and R

I have learnt to use R for statistical computing and graph since January 2011. I came across R as I was looking for a software that can run SEM (Structural Equation Model) for my PhD research in my MacBook. At the time (2010), there was no other softwares that allow me to run SEM directly in a Mac. The only way is to use Bootcamp to operate the Window system in MacBook and run SEM software for PC e.g., Lisrel, AMOS or Mplus. Then I googled “Structural Equation Modelling in Mac” and found the ‘sem‘ package by John Fox  in software called ‘R’. I also found that there were two developing packages that would be able to run SEM in R. They are OpenMx and lavaan. I did not used R immediately since it seemed to me that R requires some programming skills which I had none at the time. However, when I managed to give it a go. I found that R is really powerful. It is not only free as in beer but also as freedom. R is an open-source statistical software, probably the most popular one. Anyone can create a package to run in R. Such software could be just a database, basic or advance statistical methods. Moreover, it can be run in both PC and Mac with high compatibility. Since then I have been a big fan of R. Even though now I am just an R useR but I believe that I will be an R contributoR soon.

New: I just launched a Twitter account on Econometrics Applications of R. You can follow us @R4Econ

Blog post about R (see all)

Manuals

  1. Econometrics with R (English)
  2. Statistics with R (in Thai)

My contributed packages

  1. econ (work in progress)
    This package aims to provide statistics and econometrics analysis, graphics especially for supply chain applications.
  2. scm (work in progress)
    This package aims to provide data sets of supply chain management analysis.
  3. tour (work in progress)
    This package aims to provide data sets of tourism  analysis.

Recommended readings

  1. Modern Applied Statistics with
    Featuring package: MASS
    by W. N. Venables and B.D. Ripley
  2. Applied Econometrics with R
    Featuring package: AER
    by Christian Kleiber and Achim Zeileis
  3. Using R to teach Econometrics (2001)
    by Je Racine and Rob J Hyndman

External links on ‘Econometrics with R’

  1. CRAN Task View: Computational Econometrics
    by Achim Zeileis
  2. Reviews on books and other resources on Econometrics with R
    by Rob J Hyndman 
  3. Econometrics in R (CRAN)
    by Grant V. Farnsworth
  4. A Brief Guide to R for Beginners in Econometrics (PDF)
    by Mahmood Arai
  5. Panel Data Econometrics in R: The plm Package (JSS)
    by Yves Croissant and Giovanni Millo
  6. Applied Econometrics with R (Use R!) [Paperback] (Amazon)
    by Christian Kleiber and  Achim Zeileis
  7. Resources about R software
    by The Econometrics Journal Online
  8. R for Econometricians
    by David Smith (Revolution Analytics)

Econometrics manuals using R

  1. Forecasting: principles and practice
    An online textbook by Rob J Hyndman and George Athanasopoulos

Special issue 1: Extreme value

  1. Econometry of Financial Market with R-project
    by Daniel Herlemont
  2. Several packages provide functionality for Extreme Value Theory models: evdevdbayesevirextRemesismevPOT.
    (From CRAN taskview on Finance)
  3. R Packages and Bundles necessary to develop Stress Testing and Economic Capital Estimation (PDF)
    by John A. Morrison
7 Comments Post a comment
  1. Tom Knoll #

    I love what you are doing with this, although I don’t pretend to fully understand how the back end design of soft-ware like this is done. Nevertheless, I came across your work in a google search of Chiang Mai Social Enterprise. I have recently relocated to Chiang Mai, having worked for the last few years as a business/investor consultant helping create formal data collection and reporting mechanisms for businesses to track social and environmental impact for investors who were seeking a triple bottom-line ROI. I’ve noticed that you have some packages in progress (econ; scm; tour). Have you thought about a package for social/environmental impact businesses? I would love to have a conversation about a collaboration, if you were interested. Keep up the exciting work!
    yours,
    Tom Knoll
    tomknoll777@gmail.com
    skype – tomknoll1

    May 22, 2013
  2. Hi Mr. Pairach, I hope you are doing well. I have found a very nice online Library that contains more than 70 econometrics books:

    http://www.uebook.net/economics/econometrics

    I hope it will be of any benefit to you

    Regards

    March 13, 2016
  3. Here is a very good online library for econometrics ebooks:

    http://www.uebook.net/economics/econometrics

    March 13, 2016

Trackbacks & Pingbacks

  1. R packages for Structural Equation Model | Pairach Piboonrungroj
  2. LaTeX – เพื่อผลิตเอกสารวิชาการคุณภาพสูง | Pairach Piboonrungroj
  3. R Tutorials from Universities Around the World | Pairach Piboonrungroj
  4. R packages for Structural Equation Model | Pairach Piboonrungroj

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