An Introduction to R for Econometrics

This webpage has accompanied an introduction to R, delivered in the TA sessions for the 'Econometrics I' course of Jesús Crespo-Cuaresma at IHS Vienna in 2007.
It remains posted as a reference but is not as up-to-date as its collection of web references.

Installing R and the SciViews-R editor (under Windows)

Installing R
- If you are sitting in front of an Institute desktop, use this automatic script to check whether you have got R installed already
- If you don't have R installed, download it from the cran.r-project.org site. Windows users may directly download the newest "precompiled" version here.
  Windows users: after the download, just double-click the file and choose the default options.
Install SciViews-R for Windows:
Tinn-R is a nice graphical user interface (GUI) that outperforms R´s default GUI since it offers highlighting, context help, etc. Its custom R console is also a bit more intuitive, similar in style to that of Matlab. If you are running a different operating system, you might use JGR, which is quite handy; KDE-Linux uses may like RKward.
1. Download the 'stable' version of Tinn-R from SciViews (preferably not to your desktop, but your C drive): Select the right version for your operating system.
2. After the download, double-click the file (it will open automatically) and follow the installer.
3. Now if you want to use R, go to to your Windows menu, and open 'R Console' in the folder 'SciViews-R'. Now you can type your commands in the box at the bottom and execute them directly with Shift+Enter. (Of course, you can still use the standard R GUI, by clicking on the 'R' icon on your desktop.)
4. For longer programming tasks, it is nice to open 'Tinn-R' (also in the folder 'SciViews-R' in your Windows menu) in addtion to the console, which is a fully-fledged editor for R programming.
  In order to execute selected code immediately, it is useful to define a hotkey like Ctrl+R for 'Send: selection' under the Tinn-R menu -> 'R' -> 'Hotkeys of R'.
Note: previously, I recommended JGR as my preferred R editor, since it runs under all kinds of operating systems, and is quite handy for editing. In daily use under Windows, however, JGR proved quite buggy with big R programming tasks, leading to slowdowns and system crashes quite often. Nevertheless it remains a viable alternative, in particular if you are only interested in working with basic routines, such as the ones on this page.

Some useful references for starting with R

R for Beginners by Emmanuel Paradis: The best introduction for absolute newbies to programming (also available in French)
Econometrics in R by Grant Farnsworth is perfect for the reader having some basic experience in statistical programming.
The R video tutorial (09:30 min) by Dan Goldstein is quite helpful
Vincent Zoonekynd provides an introductory course in HTML
Beginners should print out the R reference card, which really helps in getting through.
Take a look at the R website
- Check out the manuals there.
- Most important: use rseek.org, the best R search page
- In R, try as well the commands help.start(), and using the help() on functions, like help(lm) or help.search() on keywords, like help.search("regression").
The R Wiki has some very good sections for beginners
If you are used to Matlab, you may find David Hiebeler's R-Matlab dictionary useful.
Quick-R is another good reference, especially if you have experience in Stata or SPSS.
Some links for more advanced R-ing are to be found on Martin Feldkircher's homepage

Tutorials on R

'Lecture' material:

First session (2007-01-30):The TA1 R script file with introductory commands and the CSV data file used in the TA Session. (The best is to download the R script file and open it in Tinn-R.)
Topics covered: R objects and their manipulation, data input, basic matrix algebra in R, random numbers, basic regression commands.
Second session (2007-02-14):The TA2 R script file with commands on getting data, the lm object, plotting time series and programming. Moreover, the first and second data file used in the TA Session. (Download these files and set your working directory accordingly by the command setwd .) There also an additional 'data' file.
In addition to the material covered in the TA Sesssion, I included a bit more commands on plotting and time series (and many comments!). The section on programming has been expanded by many more examples which you may find useful.
Topics covered: matrix algebra, more on reading-in data and regression commands, packages, plotting charts, time series in R, programming functions (and vectorization).

Information on lecture rooms

Most tutorials will be held in 6., Stumpergasse 56, mainly in the 'EDV Raum' at ground floor.
Only one lecture room (namely 'Schottenfeldgasse') is at 7., Schottenfeldgasse 29 in the third floor (ring if the office door is not open).

Homeworks in R

Requirements:

Homeworks in R have to be submitted as an R file via e-mail. This R file should work by direct execution, i.e. I should be able to type source("yourfile.R") and get the result printed on the console or into an output file. For the first homework, you may as well submit the necessary data file such that the routine works. For the subsequent homework, your R file should directly handle the data set given to you.

Homeworks will be graded along four dimensions:

Correctness/Completeness: Your routine should deliver all requested results, and they should be correct.
Usability: Upon typing source("yourfile.R") the results should be presented to the user somehow (e.g. printed on the console or into a file). Moreover the code should be flexible enough to be easily adjusted for other data, etc.
Efficiency/Elegancy: Your code should be computing as quickly as possible, and should be structured such that its components may be easily split. Elegant coding (i.e. few lines for a complex solution) is awarded extra points.
Readability: The comments in and the structure of your code should be good enough that it may be understood by someone 'speaking R'.

Homework sample solutions:

Homework sheet 1, no R exercises.
Homework sheet 2, exercise 2: The data file in tab-separated format and a sample .R script exemplify the solution to the exercise.
To examine it, download the .R file and the data file, and type in R setwd("path to which you downloaded the files") and then source("es2ex2.R").
Homework sheet 3, exercise 3: The data file in CSV format, simply stored out of the original Excel file.
This data contains many non-availables (NAs), and there are, in principle, two methods to adress this problem:
- Cleaning the sample regressions from NAs individually:
  This approach was chosen by all of the students. A commented sample solution outlining this approach can be found in SalaIMartin_es3_3.R.
  To examine it, download it and the the data file and execute it via the source() command as above. Execution takes about 50 seconds on a Pentium M.
- Cleaning the data first, and then do the individual regressions:
  This is the 'more right' approach, in my opinion. Moreover it lends itself to the use of the Frisch-Waugh theorem for the fixed regressors - which in turn enables the entire simulation to run in a few seconds. However, there are only 32 countries which are clean of NAs. So the data basis is quite weak.
  Sample code for this approach is in the file SalaIMartinFrischWaugh_es3_3.R. It is quite similar to the solution above.