Applied Econometrics with R

By Christian Kleiber, Achim Zeileis. 2008

494 citations recorded by the source corpus.

This is the first book on applied econometrics using the R system for statistical computing and graphics. It presents hands-on examples for a wide range of econometric models, from classical linear regression models for cross-section, time series or panel data and the common non-linear models of microeconometrics such as logit, probit and tobit models, to recent semiparametric extensions. In addition, it provides a chapter on programming, including simulations, optimization, and an introduction to R tools enabling reproducible econometric research. An R package accompanying this book, AER, is available from the Comprehensive R Archive Network (CRAN) at http://CRAN.R-project.org/package=AER. It contains some 100 data sets taken from a wide variety of sources, the full source code for all examples used in the text plus further worked examples, e.g., from popular textbooks. The data sets are suitable for illustrating, among other things, the fitting of wage equations, growth regressions, hedonic regressions, dynamic regressions and time series models as well as models of labor force participation or the demand for health care. The goal of this book is to provide a guide to R for users with a background in economics or the social sciences. Readers are assumed to have a background in basic statistics and econometrics at the undergraduate level. A large number of examples should make the book of interest to graduate students, researchers and practitioners alike.

Subfields: Management Science and Operations Research

Citations in the corpus

• Generalized random forests (2016, neutral): “, 2013), and used the function ivreg from the R package AER (Kleiber and Zeileis, 2008) for series regression.”
• Statsmodels: Econometric and Statistical Modeling with Python (2010, neutral): “In particular R is increasing in popularity as evidenced by the recent textbooks by Cryer and Chan (2008), Kleiber and Zeileis (2008), and Vinod (2008).”
• Panel data econometrics in R: The plm package (2008, unknown): “It is loaded using R> library("plm") The four datasets used are EmplUK which was used by Arellano and Bond (1991), the Grunfeld data (Kleiber and Zeileis 2008) which is used in several econometric books, the Produc data used by Munnell (1990) and the Wages used by Cornwell and Rupert (1988).”
• Object-oriented Computation of Sandwich Estimators (2006, unknown): “The extensions of sandwich, in particular to microeconometric models, was motivated by the joint work with Christian Kleiber on Kleiber and Zeileis (2006). We would also like to thank Henric Nilsson for helpful feedback and discussions that helped to improve and generalize the functions in the packa”
• Regression Models for Count Data in R (2008, unknown): “The original implementation of Jackman (2008) was improved by Kleiber and Zeileis (2008) for countreg to make the fitting functions and the fitted model objects more similar to their glm() and glm.nb() counterparts.”
• Spatial Heterogeneity in Hedonic House Price Models: The Case of Austria (2014, unknown): “This is a recognized problem in econometrics and, hence, White's heteroskedasticity consistent coefficient covariance matrix is calculated (Kleiber and Zeileis, 2008).”
• Resting state aperiodic and periodic EEG activity in preschool-aged autistic children: differences from neurotypical peers and links to language skills (2026, unknown): “The DAS-II Early Years NVDQ score was calculated by averaging the age equivalent scores of the Matrices and Picture Similarities”