Besides choosing a useful textbook, an interesting aspect of teaching Applied Econometrics has been the choice of the software package. As a student, I had a hard time dealing with textbooks that were not integrated with the software used in homework problems. The issue was that I had to spend a lot of time finding other sources to learn more about the software. In hindsight, I think it was very inefficient. Anyway, I came across a very nice textbook of Applied Econometrics that is well integrated with R, and it includes some data and examples. This textbook is called “Applied Econometrics with R” by Christian Kleiber and Achim Zeileis. It also has a companion website with slides, handouts, and some R code that I find extremely useful.
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An introductory book on econometrics using R
A major issue with introductory econometric textbooks is that they are either too theoretical or too practical. While the former does not motivate students, the latter provides training and not an education. It is very difficult to reach a compromise between these two types. Nevertheless, there is a book that was able to get a good balance between theory and applications using R. It is titled “Introduction to Econometrics with R” and written by Christoph Hanck, Martin Arnold, Alexander Gerber, and Martin Schmelzer. Most important, the examples and applications presented in the book are carefully chosen to illustrate the theoretical aspects that are being discussed. For those that already know basic econometrics, this book is still useful to learn a lot about R.