[R-pkgs] AER: Applied Econometrics with R

From: Achim Zeileis <Achim.Zeileis_at_r-project.org>
Date: Sat, 10 May 2008 09:58:37 +0200 (CEST)

The package AER accompanying the forthcoming book "Applied Econometrics with R" by Christian Kleiber and me in the Springer useR! series has (finally!) been released to CRAN:

   http://CRAN.R-project.org/package=AER

It contains some new R functionality

   o tobit regression convenience interface (to "survival")    o instrumental variables regression (two-stage least squares)    o (over-) dispersion test (via auxiliary regression) but the main feature are ~100 data sets taken from popular econometrics text books and the data archives of JAE (Journal of Applied Econometrics) and JBES (Journal of Business and Economic Statistics). Extensive examples are provided with the data sets, reproducing many of the analyses in the books/papers they were taken from. In particular, all data sets from the following books with many of the associated examples are provided:

   o "Econometrics" (Baltagi, 2002)
   o "Econometric Analysis" (Greene, 2003)
   o "Introduction to Econometrics" (Stock & Watson, 2007)

Until the book becomes available in autumn 2008, we will add vignettes to the package reproducing the examples from our book.

Best wishes,
Z

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