There are some reviews. You can read:
 R: yet another Econometric Programming Environment, Francisco Cibari- Neto 
and Spyros G. Zarkos.
Journal of Applied Econometrics, 14: 319-329 (1999)
 

 On 8/25/05, Achim Zeileis <Achim.Zeileis@wu-wien.ac.at> wrote: 
> 
> On Thu, 25 Aug 2005 11:52:28 +0100 SELIM YILDIRIM wrote:
> 
> > Hi,
> >
> > I am currently looking for a program or programmng language easy to
> > learn, easier to operate on.I heva heard about "R", However I
> > understand that "R" is designed especially for statisticians. As an
> > economist, working on applied econometrics, I am not sure if it can
> > meet my needs.
> >
> > Will I be able to reach precise time series or panal data regression
> > results with "R" ?
> 
> yes
> 
> > Can "R" regress nonlinear models such as TAR, STAR
> > and Markov Switcing models? Can I use it to do cointegration, unit
> > root, VAR analysis on both panel and time series data? Can I run GMM
> > regressions on "R" ?
> 
> some things yes, other things not out of the box
> 
> > Is it suitable for Monte Carlos?
> 
> yes
> 
> > In short, is R suitable for applied econometrics?
> 
> In principle yes, although not everything you might want to do is
> already available in CRAN packages. For an overview of what is currently
> available, look at the task view as Duncan already suggested.
> 
> Best,
> Z
> 
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