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illustrating various econometric methods

Data sets

  • Textbooks and journals : Packages AEREcdat, and wooldridge contain a comprehensive collections of data sets from various standard econometric textbooks (including Greene, Stock & Watson, Wooldridge, Baltagi, among others) as well as several data sets from the Journal of Applied Econometrics and the Journal of Business & Economic Statistics data archives. AER and wooldridgeadditionally provide extensive sets of examples reproducing analyses from the textbooks/papers, illustrating various econometric methods. In pder a wide collection of data sets for “Panel Data Econometrics with R” (Croissant & Millo 2018) is available. The PoEdata package on GitHub provides the data sets from “Principles of Econometrics” (4th ed, by Hill, Griffiths, and Lim 2011).
  • Canadian monetary aggregates CDNmoney.
  • Penn World Table pwt provides versions 5.6, 6.x, 7.x. Version 8.x and 9.x data are available in pwt8 and pwt9, respectively.
  • Time series and forecasting data : The packages expsmoothfma, and Mcomp are data packages with time series data from the books ‘Forecasting with Exponential Smoothing: The State Space Approach’ (Hyndman, Koehler, Ord, Snyder, 2008, Springer) and ‘Forecasting: Methods and Applications’ (Makridakis, Wheelwright, Hyndman, 3rd ed., 1998, Wiley) and the M-competitions, respectively.
  • Empirical Research in Economics : Package erer contains functions and datasets for the book of ‘Empirical Research in Economics: Growing up with R’ (Sun, forthcoming).
  • Panel Study of Income Dynamics (PSID) psidR can build panel data sets from the Panel Study of Income Dynamics (PSID).
  • US state- and county-level panel data: rUnemploymentData.
  • World Bank data and statistics: The wbstats package provides programmatic access to the World Bank API.