R is a computing environment specially made for doing statistics/econometrics.
It is becoming a standard tool for advanced dealing with empirical data, also in
Some good things about R
Some issues with R
- It is freely available for download from the internet, and can be installed
on a wide range of operating systems, such as Windows, Mac OS, Unix, etc.
- There is a large number of packages available for specialized purposes,
also freely dowloadable from the web.
- It is command-driven, and learning to use it to its full extent takes some time and
- The documentation is comprehensive, but not always easy to navigate. It is sometimes
necessary to do a bit of googling before one finds examples of how somebody else has
peformed a particular task.
- The large number of packages, sometimes competing against each others, makes it
hard to find the best way of doing things.
Lecture - overview
Specific usage examples (finance related)
- Time series libraries
- Notes on using time series libraries
- R codes for examples:
- Calculating Returns
- Notes on calculating returns
- R code for examples used in notes.
- Downloading stock prices and constructing portfolio returns
- Estimating betas
- Asset pricing data
- The Ken French data.
- Norwegian asset pricing data data.
- Downloading stock prices and calculating returns
- Regressions involving time series (ADL and VAR)
- setup.R Example of my setup file, installing all
packages. (a pretty large collection, some of which may seem obscure).
Some internet links