Economics 583: Econometric Theory I

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Last updated: January 7, 2013

Introduction | Short Course | R Package | Class Examples | Packages

Introduction

• An Introduction to R
• R for Beginners
• Working with Time Series Data in R: Updated: October 21, 2008
  • readData.r

R Short Course

This is a short course on using R put together by Chris Green (PhD student in UW stat dept).

R Packages

• gmm: Generalized Method of Moments and Generalized Empirical Likelihood. It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (GMM) of Hansen(1982), the iterated GMM and continuous updated estimator (CUE) of Hansen-Eaton-Yaron (1996) and several methods that belong to the Generalized Empirical Likelihood (GEL) family of estimators, as presented by Smith (1997), Kitamura (1997), Newey-Smith(2004) and Anatolyev (2005).

• plm: Linear models for panel data. A set of estimators and tests for panel data.

   

Class Examples

The following script files are used to create the examples used in class and presented in the class slides.

Asymptotic Primer

• probReview.r

Time Series Concepts

• timeSeriesConcepts.r

Single Equation Linear GMM

• matrixAlgebra.r

Nonlinear GMM

• descriptiveStatistics.r
• descriptiveStatisticsDaily.r

Multiple Equation Linear GMM

• cerModelExamples.r
• bootStrap.r
• hypothesisTestingCER.r

Packages

The following R packages will be used in class:

• zoo: Z's ordered observations

  • Vignette: zoo: An S3 Class and Methods for Indexed Totally Ordered Observations.

  • Vignette: zoo Quick Reference

• tseries: Time series analysis and computational finance

• TSA: Time series analysis.

• xts: Extensible time series

  • Vignette: xts: Extensible Time Series.

• mvtnorm:  Multivariate normal and multivariate t distribution.

  • Vignette: Using mvtnorm.

• boot: Bootstrap R Functions.