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Applied Econometrics with R
Functions, data sets, examples, demos, and vignettes for the book
Christian Kleiber and Achim Zeileis (2008), Applied Econometrics
with R, Springer-Verlag, New York. ISBN 978-0-387-77316-2. (See
the vignette for a package overview.)
Econometric tools for performance and risk analysis
Collection of econometric functions for performance and risk analysis.
This package aims to aid practitioners and researchers in utilizing
the latest research in analysis of non-normal return streams. In
general, it is most tested on return (rather than price) data on a
regular scale, but most functions will work with irregular return
data as well, and increasing numbers of functions will work with
P&L or price data where possible.
Japanese stock market from Yahoo!-finance-Japan
Japanese stock market from Yahoo!-finance-Japan
Conditional Correlation GARCH models
Functions for estimating and simulating the family of the CC-GARCH
models.
Technical Trading Rules
Functions and data to construct technical trading rules with R.
Markets and Basic Statistics
The Rmetrics "fBasics" package is a collection of functions to
explore and to investigate basic properties of financial returns
and related quantities. The covered fields include techniques of
explorative data analysis and the investigation of distributional
properties, including parameter estimation and hypothesis testing.
Evenmore there are several utility functions for data handling and
management.
Generalized Method of Moments and Generalized Empirical Likelihood
It is a complete suite to estimate models based on moment conditions.
It includes the two step Generalized method of moments (GMM) of
Hansen(1982), the iterated GMM and continuous updated estimator
(CUE) of Hansen-Eaton-Yaron(1996) and several methods that belong
to the Generalized Empirical Likelihood (GEL) family of estimators,
as presented by Smith(1997), Kitamura(1997), Newey-Smith(2004) and
Anatolyev(2005).
Testing Linear Regression Models
A collection of tests, data sets, and examples for diagnostic
checking in linear regression models. Furthermore, some generic
tools for inference in parametric models are provided.
Linear Models for Panel Data
Panel data econometrics is obviously one of the main fields in the
profession, but most of the models used are difficult to estimate with
R. plm is a package for R which intends to make the estimation of
linear panel models straightforward. plm provides functions to
estimate a wide variety of models and to make (robust) inference.
Chronological and Calendar Objects
Package of calendar, date, time tools and utilities for Rmetrics.