Using R to Teach Econometrics.

R

http://ideas.repec.org/p/msh/ebswps/2001-10.html

その他使えそうなパッケージ。

  • dse: Multivariate time series library - includes multivariate ARMA, state space models, etc.
  • ineq: Measuring inequality, concentration and poverty.
  • its: Irregular time series.
  • lmtest: Testing linear regression models; a collection of tests, datasets and examples for diagnostic checking in linear regression models.
  • mnp: The multinomial probit model.
  • quadprog: Solving quadratic programming problems (e.g. portfolio optimisation).
  • sem: General linear structural equation models (with observed and unobserved variables) by MLE, and fitting 2SLS models.
  • strucchange: Testing for structural change in linear regression.
  • systemfit: Systems of linear and nonlinear equations, using OLS, WLS, SUR, 2SLS, W2SLS, 3SLS, W3SLS.
  • tseries: Time series analysis and computational finance. Includes ARCH and GARCH models.
  • urca: Unit root and cointegration analysis.
  • VaR: Value at risk estimation.