Hands-On Intermediate Econometrics Using R

The R statistical environment is rapidly becoming widely popular among economists inside corporations and academia. As a result, we now see a number of recently published books such as Cryer and Chan (2008), Kleiber and Zeileis (2008), and Pfaff (2008) which focus on econometrics using R (see Eddelbuettel 2009a,b, for reviews of the latter two) Vinod’s book differs from the others and stands on its own merits with its hands-on approach using a large collection of R program snippets that discuss and illustrate how to apply a variety of modern econometric techniques. The book has eleven chapters. The first chapter takes production function estimation as an example and presents elementary econometric methods as well as the basics of the R soft-ware system. Topics include various data analysis tools, multiple regression, singular value decomposition, ridge regression, and collinearity. Chapters 2 and 3 focus on univariate and bivariate time series analysis respectively. Included along with the standard topics are some advanced ones such as mean reversion and long memory. Chapter 4 provides an extensive discussion of the utility theory and its empirical implications including stochastic dominance up to fourth order. Chapter 5 returns to time series analysis and deals mainly with vec