Applied Econometrics with R

by Christian Kleiber

This is the first book on applied econometrics using the R system for statistical computing and graphics. It presents hands-on examples for a wide range of econometric models, from classical linear regression models for cross-section, time series or panel data and the common non-linear models of microeconometrics such as logit, probit and tobit models, to recent semiparametric extensions. In addition, it provides a chapter on programming, including simulations, optimization, and an introduction to R tools enabling reproducible econometric research. An R package accompanying this book, AER, is available from the Comprehensive R Archive Network (CRAN). It contains some 100 data sets taken from a wide variety of sources, the full source code for all examples used in the text plus further worked examples, e.g., from popular textbooks. The data sets are suitable for illustrating, among other things, the fitting of wage equations, growth regressions, hedonic regressions, dynamic regressions and time series models as well as models of labor force participation or the demand for health care. The goal of this book is to provide a guide to R for users with a background in economics or the social sciences. Readers are assumed to have a background in basic statistics and econometrics at the undergraduate level. A large number of examples should make the book of interest to graduate students, researchers and practitioners alike.  

Genres: Economics

232 pages, Kindle Edition

First published August 28, 2008

Reviews

[JDK1962 · Rating 3 out of 5]

Good basic treatment of a number of topics (especially linear regression and Sweave), but in some of the later chapters it became painfully apparent that this is, as advertised, a graduate-level text. Unless you're a statistician or an economist, a lot of content will sail over your head, as it assumes you're already familiar with the statistical tests being discussed, why you'd want to do them, and what the results mean.

At the end, I decided it was time to head back and do a really thorough reading of Venables and Ripley's classic Modern Applied Statistics with S.

[Alex Wang · Rating 4 out of 5]

An easy to read, easy to follow, practical guide to R learners with econometric orientation. It explains the basic econometric analysis briefly followed by practical hands-on exercises.