[R] Econometrics ...

[Ott Toomet]

Hi,

I think an econometric package is needed.  R is more oriented to general
statistics (at least from my viewpoint) and lacks some commonly used
econometric methods, some other methods are spread in different packages.
Third problem is that many functions use algorithms, not common in econometrics
(e.g. neural networks).

I think we need at first a package wich is able to do a most basic
econometrics (I am not a time series man, so I drop the time series stuff,
these are just problems I have encountered):

econometrical modelling including
ols           (alias to lm())
logit, probit (alias to glm()?)
nlls          (glm()?)
perhaps multinominal logit, using ML method
tobit model
...

and the common tests including white heteroscedastisity, White
Heteroscedasticity-consistent t-values, Durbin-Watson etc..

These functions and tests should be in a form, common and easily
understandable for economists and students, eg to write

model <- logit( y~x)
summary( model, white.t=TRUE)
...


I think the functions, given in other packages should somehow repeated, at
least when the method is a bit unfamiliar for econometrics.  Of course, this
package cannot include everything in econometrics, but perhaps enough for a
basic course.  Additionally, it can made ,,covers'' of e.g. tseries package,
aliasing the functions there in a more common form, but I think it is not a
main issue.

I could well help with the functions I have, but unfortunately I cannot
maintain a whole new package right now.

best wishes,

Ott Toomet




> John Janmaat wrote:
> >
> > Hello,
> >
> > Is there a package available for R which generates output commonly used
> > by econometricians (eg., the Durbin-Watson statistic for serial
> > correlation in regression residuals)?  I'm pretty sure most of the stuff
> > is out there in assorted packages, under different names.  However, it
> > would make my life, and that of my students, easier if it was all in one
> > package.
> >
> > Thanks,
> >
> > John.
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