CRAN Task View: Econometrics

Maintainer:Achim Zeileis, Grant McDermott, Kevin Tappe
Contact:Achim.Zeileis at R-project.org
Version:2023-01-17
URL:https://CRAN.R-project.org/view=Econometrics
Source:https://github.com/cran-task-views/Econometrics/
Contributions:Suggestions and improvements for this task view are very welcome and can be made through issues or pull requests on GitHub or via e-mail to the maintainer address. For further details see the Contributing guide.
Citation:Achim Zeileis, Grant McDermott, Kevin Tappe (2023). CRAN Task View: Econometrics. Version 2023-01-17. URL https://CRAN.R-project.org/view=Econometrics.
Installation:The packages from this task view can be installed automatically using the ctv package. For example, ctv::install.views("Econometrics", coreOnly = TRUE) installs all the core packages or ctv::update.views("Econometrics") installs all packages that are not yet installed and up-to-date. See the CRAN Task View Initiative for more details.

Base R ships with a lot of functionality useful for (computational) econometrics, in particular in the stats package. This functionality is complemented by many packages on CRAN, a brief overview is given below. There is also a certain overlap between the tools for econometrics in this view and those in the task views on Finance, TimeSeries, and CausalInference.

The packages in this view can be roughly structured into the following topics. If you think that some package is missing from the list, please file an issue in the GitHub repository or contact the maintainer.

Basic linear regression

Microeconometrics

Common research designs for causal inference

We review packages related to some common research designs for causal inference below. This section is necessarily brief and should be paired with the CausalInference task view, since is there a high degree of overlap.

Difference-in-differences and synthetic control

Instrumental variables

Regression discontinuity design

Panel data models

Further regression models

Time series data and models

Data sets

Miscellaneous

CRAN packages

Core:AER, car, fixest, forecast, ivreg, lmtest, marginaleffects, plm, sandwich, tseries, urca, zoo.
Regular:alpaca, aod, apollo, apt, bacondecomp, bayesm, betareg, bife, bimets, BMA, BMS, boot, bootstrap, brglm, CADFtest, CDNmoney, censReg, clubSandwich, clusterSEs, collapse, crch, decompr, did, did2s, dlsem, DoubleML, DRDID, dynlm, Ecdat, effects, erer, estimatr, etwfe, expsmooth, ExtremeBounds, feisr, fma, frontier, fxregime, gam, gamlss, geepack, gets, glmx, gmm, gmnl, gravity, grf, gsynth, gvc, hdm, Hmisc, ineq, ivprobit, LARF, lavaan, lfe, LinRegInteractive, lme4, logitr, lpirfs, margins, MASS, matchingMarkets, Matrix, Mcomp, meboot, mfx, mgcv, mhurdle, micEcon, micEconAids, micEconCES, micEconSNQP, midasr, mlogit, MNP, modelsummary, multiwayvcov, nlme, nnet, NNS, nonnest2, np, nse, ordinal, OrthoPanels, pampe, panelvar, pco, pcse, pder, pdR, pdynmc, pglm, pscl, psidR, pwt, pwt8, pwt9, quantreg, RATest, Rchoice, rdd, rddensity, rdlocrand, rdmulti, rdpower, rdrobust, reldist, REndo, rms, RSGHB, sampleSelection, segmented, sem, semsfa, simpleboot, SparseM, spatialprobit, spatialreg, sphet, splm, spsur, ssfa, ssmrob, SteinIV, strucchange, survival, Synth, systemfit, tidysynth, truncreg, tsDyn, vars, VGAM, wbstats, wINEQ, wooldridge, xts, zTree.
Archived:fwildclusterboot.

Related links

Other resources