Teaching Econometrics in R

Published in University of Oxford, 2021

A collection of resources that I have used to teach econometrics and statistics.

For structured material, please see the R Material for a Stata-based Statistics course, taught at QEH in Oxford.

Modelling our Changing World, by Jenny Castle and David Hendry

QuantEcon: Open source code for economic modeling

r-econometrics

Econometric Computing Learning Resource (ECLR) Manchester University

R Tutorials for Applied Statistics by James Murray

Regression and Statistical Inference by Andrew Heiss

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Panel Data Econometrics

Practical notes on panel data models with interactive effects by Bai, Jushan and Li, Kunpeng

Panel data econometrics in R: the plm package

Econometric Methods for Panel Data Based on the books by Baltagi: Econometric Analysis of Panel Data and by Hsiao: Analysis of Panel Data, Robert M. Kunst

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Time Series Resources

An Introduction to Vector Autoregression (VAR)

VAR, SVAR and SVEC Models: Implementation Within R Package vars

VAR and the Johansen Test for Cointegration in R

Chi-squared test

A chi-squared test example: