These Lecture Notes refer to the examples and illustrations proposed in the book A Guide to Modern Econometrics by Marno Verbeek (4th and 3rd editions). The source codes here described are written in the R language (R Development Core Team, 2012) (R version 2.15.1 was used). Subjects are presented in the course Computational Laboratory for Economics held at Università Cattolica del Sacro Cuore, Graduate Program Economics. The course runs in parallel with the course Empirical Economics where the methodological background is assessed. Attention was paid in order to obtain results first according to their mathematical structure, and then by using appropriate built-in R functions, anyway searching for an efficient and elegant programming style. The reader is assumed to possess the basic knowledge of R. An introduction to R by Longhow Lam, available on http://www.splusbook.com/RIntro/RCourse.pdf may represent a good reference. Chapters from 2 to 10 recall the contents of Verbeek's Guide. Appendix A1 describes how to read data from text, Stata and EViews files, which are the formats used by Verbeek on his book website, where data sets are available. Appendix B contains results for examples which were present on the 3rd edition of Verbeek's Guide. Some companion materials to these Lecture Notes can be downloaded from the booksite www.educatt.it/libri/materiali. I warmly thank Diego Zappa and Giuseppe Boari for having read parts of the manuscript. I wish to thank Stefano Iacus for his short course on an efficient and advanced use of R, and Achim Zeileis, Giovanni Millo and Yves Croissant for having improved their libraries lmtest and plm in order to properly fit some problems here presented.
|Numero di pagine||440|
|Stato di pubblicazione||Pubblicato - 2012|