Econometric Tools

Please find relevant links for software and packages useful for financial and macroeconomic analysis and forecasting below. In the spirit of analytical democratisation, I am interested in the use of free, open source, tools. Econometric estimation and forecasting of economic models can be done for free through R (and SVAR). For those with the resources, the choice is available to solve econometric models with the help of EViews, Stata or SPSS.

Empirical Econometric Software

1) R is a mathematical and statistical language/software. It is freely available for download under the GNU license terms. Because of this and because of its power, reliability and increasing user friendliness, this is a piece of software that is increasingly replacing the other non-free programmes (see below). Fansworth 2008 provides an interesting discussion of R.

R can be used in 4 different forms. For the more purist CLI oriented users, accustomed to programming, you can use the original version of R. For the rest of us, there are the GUI platforms of R, such as R CommanderRExcel and Zelig which can be added to R. This youtube video provides a good discussion of R in general and of these specific platforms.

Statistical Tools are divided by “Views” (i.e.: research fields), which themselves are subdivided into specific statistical “packages” that perform specific statistical tasks. For the purposes of this website, I am only interested in the “Econometrics” (and may be the “Finance”) Views.

The pure version of R can be downloaded from the CRAN (“Comprehensive R Archive Network) project website, here.

There are some accompanying notes on the Installation of these packages. It’s always the same:

  • Rexcel – To install it, just type << install.packages(“RExcelInstaller”) >> in R’s command box.  Then type: << library(RExcelInstaller) >>. You will the receive further instructions on what to do. In my case I was told to type << installstatconnDCOM() >>, which after some processing opened a setup window for Statconn.
  • RCommander – To install it, just type << install.packages(“Rcmdr”) >> in R’s command box. Then type: << library(Rcmdr) >>
  • Zelig  – To install it, just type << install.packages(“Zelig”, repos=”http://r.iq.harvard.edu/&#8221;, type=”source”) >> in R’s command box. Then type: << library(Zelig) >>

There are also manuals for Rexcel, RCommander (herehere and here) and Zelig (Cheat Sheet).

Some interesting Packages by Econometric analysis (aside from the comprehensive Zelig):

2) SPSS is a very user friendly but somewhat limited tool, developed by IBM. Political Scientist, Marketing analysts and Sociologist like to use it a lot. You can read more about it here.

3) Stata is a bit more sophisticated than SPSS. However, what gains it makes in complexity and sophistication it looses in user friendliness, as it works mostly through commands (CLI) rather than through graphical interface (GUI). You can read more about it here:

4) EViews is my personal favourite piece of software. In my view it provides the appropriate level of compromise between Stata and SPSS. It also has an extensive and comprehensive user guide.

5) MatLab – Christopher Sims’ VAR Tools, Mathworks guide to VARs,

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