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 usage of the R system for statistical computing which is starting to be adopted for empirical research in economics (amongst many other systems such as Stata, EViews, RATS, or programming environments such as GAUSS or Ox). With its flexibility, object orientation, superior graphics, and tools for reproducible research, R still has much more potential in econometrics. However, some obstacles for greater popularity of R so far have been that it was mainly developed by and for statisticians, and that it thus sometimes uses unfamiliar terminology, follows a different workflow than other software packages, and that many econometric methods became available only relatively recently. The talk will give an overview of the econometric methods already available in R, demonstrate the look-and-feel of R in typical econometric analyses (using examples from Kleiber and Zeileis, 2008, Applied Econometrics with R, Springer-Verlag), and highlight some of the special strengths of R.
Keywords: Econometrics; Statistical software; R
Biography: Achim Zeileis is Professor of Statistics at Universität Innsbruck, Austria, Christian Kleiber is Professor of Econometrics and Statistics at Universität Basel, Switzerland. R users since version 0.64.0, they have been collaborating on econometric methodology in R, including several R packages and the Springer book “Applied Econometrics in R”, for more than ten years. Moreover, Achim Zeileis is co-editor-in-chief of the Journal of Statistical Software.