[R] Econometrics ...
pgilbert at bank-banque-canada.ca
Fri Oct 12 16:30:29 CEST 2001
John Janmaat wrote:
> Is there a package available for R which generates output
> by econometricians (eg., the Durbin-Watson statistic for serial
> correlation in regression residuals)? I'm pretty sure most of
> is out there in assorted packages, under different names.
That's a broad subject area, it would be a pretty big package. My
small part of it (the "dse" and "dseplus" bundles on CRAN) is
already already divided into many packages. You should also look
at "ts", "tseries", and "strucchange". These are mostly about
time series and not other areas of econometrics. Also, as far as
I know, there is nothing that does structural modelling of time
series as is popular in some econometrics circles, although dse
has a (broken) interface to software that does that.
> However, it
> would make my life, and that of my students, easier if it was
all in one package.
I do appreciate this concern. Perhaps you or some of your
students might draft a roadmap. I would be happy to help wrt my
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