Using R for Introductory Econometrics

Using R for Introductory Econometrics

Welcome to the companion web site to the book

Using R for Introductory Econometrics
by Florian Heiss
ISBN: 978-1-523-28513-6
Published in February 2016
Using the independent publishing platform CreateSpace
List price: $26.90

"A very nice resource for those wanting to use R in their introductory econometrics courses."
(Jeffrey M. Wooldridge)

"Using R for Introductory Econometrics is a fabulous modern resource. I know I'm going to be using it with my students, and I recommend it to anyone who wants to learn about econometrics and R at the same time."
(David E. Giles)

Content and Approach

This book introduces the popular, powerful and free programming language and software package R with a focus on the implementation of standard tools and methods used in econometrics. Unlike other books on similar topics, it does not attempt to provide a self-contained discussion of econometric models and methods. Instead, it builds on the excellent and popular textbook "Introductory Econometrics" by Jeffrey M. Wooldridge. Some other editions and versions work as well, see below. It is compatible in terms of topics, organization, terminology and notation, and is designed for a seamless transition from theory to practice. Topics include:

• A gentle introduction to R
• Simple and multiple regression in matrix form and using black box routines
• Inference in small samples and asymptotics
• Monte Carlo simulations
• Heteroscedasticity
• Time series regression
• Pooled cross-sections and panel data
• Instrumental variables and two-stage least squares
• Simultaneous equation models
• Limited dependent variables: binary, count data, censoring, truncation, and sample selection
• Formatted reports and research papers combining R with R Markdown or LaTeX

The chapters have the same names and cover the same material as the respective chapters in Wooldridge’s textbook. Assuming the reader is familiar with the concepts discussed there, this book explains and demonstrates how to implement everything in R and replicates many textbook examples. We also open some black boxes of the built-in functions for estimation and inference by directly applying the formulas known from the textbook to reproduce the results. Some supplementary analyses such as Monte Carlo simulations provide additional intuition and insights.

The book is designed mainly for students of introductory econometrics who ideally use Wooldridge’s “Introductory Econometrics” as their main textbook. It can also be useful for readers who are familiar with econometrics and possibly other software packages, such as Stata. For them, it offers an introduction to R and can be used to look up the implementation of standard econometric methods.

All computer code used in this book can be downloaded to make it easier to replicate the results and tinker with the specifications.

Note about other "Introductory Econometrics" versions

• The 6^th edition of Wooldridge's "Introductory Econometrics" was published in 2016.
• The 5^th edition of Wooldridge's "Introductory Econometrics" was published in 2013. While it misses some parts, it works as well.
• The 5^th international edition of Wooldridge's "Introductory Econometrics" published in 2013 and lacks even more material, but for our purposes it works without any problems.
• Older editions are not perfectly compatible with regard to references to sections and examples.
• The book Introduction to Econometrics by Jeff Wooldridge published in 2014 is officially available in Europe, the Middle East, and Africa only. It is mostly consistent in terms of the main chapters, but does not include exercises, the appendices on fundamental math, probability, and statistics, and other material.

About the book

The book started as a collection of notes to myself on how to do stuff in R. I expanded and annotated it and to make it available to my students. After it looked more and more like a book, I decided to put more effort into it and actually make it available to the public. The book is self-published and not professionally edited. Once you get over the hideous layout and appalling grammar, you can start enjoying the benefits:

• I can do things like offer the full text for online viewing without asking a publisher for permission.
• Compared to your typical textbook, a hardcopy is really cheap.