CRAN Task View: Computational Econometrics

Maintainer:Achim Zeileis
Contact:Achim.Zeileis at R-project.org
Version:2014-09-08

Base R ships with a lot of functionality useful for computational econometrics, in particular in the stats package. This functionality is complemented by many packages on CRAN, a brief overview is given below. There is also a considerable overlap between the tools for econometrics in this view and for finance in the Finance view. Furthermore, the Finance SIG is a suitable mailing list for obtaining help and discussing questions about both computational finance and econometrics. Finally, there is also some overlap with the SocialSciences that also covers a broad variety of tools for social sciences, e.g., including political science.

The packages in this view can be roughly structured into the following topics. If you think that some package is missing from the list, please let me know.

Linear regression models

Microeconometrics

Further regression models

Basic time series infrastructure

Time series modeling

Data sets

Miscellaneous

CRAN packages:

Related links: