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


Econometric Computing Learning Resource (ECLR) Manchester University

R Tutorials for Applied Statistics by James Murray

Regression and Statistical Inference by Andrew Heiss


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


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: