Applied Econometrics with R

Empirical research in economics commonly utilizes programming languages such as GAUSS
or, more recently, Ox, as well as packages of canned routines such as EViews, RATS or TSP,
to mention a few. The authors believe that R, with its flexibility, object orientation and
superior graphics, has great potential in econometrics.
However, there appear to be at least two obstacles: First, R is being developed from
the point of view of mainstream statistics, often using terminology unfamiliar to many
econometricians (e.g., generalized linear models). This creates the impression, as may
be witnessed on R-help, that some methods are unavailable in R, while in fact they just
appear under different names. Second, classical statistics stems from the analysis of randomized
experiments, while observational data are the rule in economic applications. This
implies that modifications of classical procedures are required, some of which still need
implementation in R.
The talk will report on the current status of Kleiber and Zeileis (2006), the first book on R
exclusively devoted to econometric applications. Some gaps in R will be identified, notably
models for panel data and some branches of microeconometrics.