For errors with:

download.file()
install.package()
update.package()
any other command that R uses to access the internet

Setting up a proxy in R 2.2.1 for windows.

I work at a Central Bank so our firewall and proxy are very particular. To 
allow R to access the net I did the following:

1. In order for other programs, specifically STATA, to access the internet 
we use a program called Privoxy. Download and setup Privoxy <
http://www.privoxy.org/> on your machine.

2. In IE (I'm using 6.0) 
        Tools > Internet Options > Connections tab > LAN Settings
        Unselect both checkboxes in the "Automatic configuration" frame.
        Select both checkboxes in "Proxy server" frame.
                Address: localhost Port: 8118.

3. From the cmd prompt (Start > Run > Open:cmd) navigate to the folder 
where you installed R. The default is cd C:\Program Files\R\R-2.2.1\bin. 
At the prompt type:

C:\Program Files\R\R-2.2.1\bin>R - -internet2

This will start R calling internet2.dll and access the internet through IE 
and with the IE settings you defined in step 2. 

4. While I could not get the internet capabilities of R to work without 
Privoxy, you may be more successful. If I were you I would begin by trying 
to use your usual IE proxy and firewall settings without Privoxy and the 
“- -internet2” option when starting R from the cmd prompt. I could not 
figure out to how to invoke the internet2.dll flag using the GUI in 
Windows.

Feel free to contact me if you have questions,
Andrew
__________________________________

Andrew McCallum
Research Associate - Macroeconomics
Federal Reserve Bank of San Francisco
__________________________________


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