R Packages

R Package "erer"

erer link on CRAN
ererManual.pdf (190 KB; 52 pages)
erer_2.4.tar.gz (1.3 MB)

Note: Functions, datasets, and sample codes related to the book of 'Empirical Research in Economics: Growing up with R' are included. Marginal effects for binary or ordered choice models can be calculated. Static and dynamic Almost Ideal Demand System (AIDS) models can be estimated. A typical event analysis in finance can be conducted with several functions included.

About 100 sample R programs and datasets are used in the ERER book. They are all included in the erer package. How to get them is explained in detail at ERER Book Chapter 2 Geting Stated with R (3.3 MB) . Briefly, one can unzip the above "tar.gz" file and copy all the documents in the "doc" folder to a local drive.

R Package "apt"

apt link on CRAN
aptManual.pdf (123 KB; 22 pages)
apt_2.4.tar.gz (0.9 MB)

Note: This package focuses on asymmetric price transmission (APT) between two time series. It contains functions for linear and nonlinear threshold cointegration, and furthermore, symmetric and asymmetric error correction model. A graphical user interface is also included for major functions included in the package, so users can also use these functions in a more intuitive way.

R Package "s01Tvecm"

Note: This package contains functions and datasets for threshold vector error correction model. It will be posted here after it is built and finalized.

R Package "s02Rott"

Note: This package contains functions for estimating the Rotterdam demand system. It will be posted here after it is built and finalized.

R Package "s03Trlg"

Note: This package contains functions for estimating the Translog cost demand system. It will be posted here after it is built and finalized.

R Package "s04IA"

Note: This package contains functions for conducting intervention analysis. It will be posted here after it is built and finalized.

R Package "s05Extreme"

Note: This package contains functions for copula, extreme value statistics, and tail dependence. It will be posted here after it is built and finalized.