[R] Using R for large econometric models

[Pfaff, Bernhard Dr.]

Dear Dietrich,

in the first place, it would have been helpful to know which kind of econometric models your colleague wants to utilise. With respect to econometric methods you might want to have a look at the CRAN Task Views for econometrics and finance, to see what is already available:

http://cran.at.r-project.org/src/contrib/Views/Econometrics.html

http://cran.at.r-project.org/src/contrib/Views/Finance.html


>From a practical point of view, I have by now not encountered any size limitations; these experiences are gained from working with high frequency multivariate data in the finance context as well as simultaneous multiple equation models that are solved on a per period basis by applying the Gauß-Seidel algorithm; my colleagues are using R in the context of stock selection where on a daily basis multivariate time series data of more than 3,000 strocks are processed. We have not encountered any problems so far. Basically, the maximal data handling size is determined by your computer's memory and the style of your coding.

Best,
Bernhard




>
>Dear helpeRs,
>
>a colleague of mine would like to give R a try.  He uses econometric
>models which typically involve a large number of variables, esp. time
>series.  Having no experience with handling very large data sets myself
>I turn to you.
>
>1. Could you please describe your experiences to cope with these
>   situations?
>
>2. What kind of difficulties will he have to face? Are there special
>   tricks (packages) he might try?
>
>3. Can you recommend to use R?
>
>
>Sorry, if my question is a bit vague but at this point I'm not able to
>give any further details.
>
>Any help is very much appreciated.
>
>D. Trenkler                     
>
>-- 
>Dietrich Trenkler c/o Universitaet Osnabrueck 
>Rolandstr. 8; D-49069 Osnabrueck, Germany    
>email: Dietrich.Trenkler at Uni-Osnabrueck.de
>
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>PLEASE do read the posting guide 
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>and provide commented, minimal, self-contained, reproducible code.
>
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