Blog Archives

Export R output to a file

February 21, 2015
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Sometimes it is useful to export the output of a long-running R command. For example, you might want to run a time consuming regression just before leaving work on Friday night, but would like to get the output saved inside your Dropbox folder to take a look at the results before going back to work on...

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Introduction to programming econometrics with R

January 11, 2015
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This semester, I’ll be teaching an introduction to applied econometrics with R, so I’ve decided to write a very small book called “Introduction to programming Econometrics with R”. This is primarily intended for bachelor students and the focus is not much on econometric theory, but more on how to implement econometric theory into computer code, using the R programming...

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R, R with Atlas, R with OpenBLAS and Revolution R Open: which is fastest?

November 10, 2014
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In this short post, I benchmark different “versions” of R. I compare the execution speeds of R, R linked against OpenBLAS, R linked against ATLAS and Revolution R Open. Revolution R Open is a new open source version of R made by Revolution Analytics. It is linked against MKL and should offer huge speed improvements over...

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Object Oriented Programming with R: An example with a Cournot duopoly

April 23, 2014
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Object Oriented Programming with R: An example with a Cournot duopoly

I started reading Applied Computational Economics & Finance by Mario J. Miranda and Paul L. Fackler. It is a very interesting book that I recommend to every one of my colleagues. The only issue I have with this book, is that the programming language they use is Matlab, which is proprietary. While there is a free...

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Using R as a Computer Algebra System with Ryacas

December 31, 2013
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R is used to perform statistical analysis and doesn't focus on symbolic maths. But it is sometimes useful to let the computer derive a function for you (and have the analytic expression of said derivative), but maybe you don't want to leave your comfy R shell. It is possible to turn R into a full-fledged computer...

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Nonlinear Gmm with R – Example with a logistic regression

November 7, 2013
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In this post, I will explain how you can use the R gmm package to estimate a non-linear model, and more specifically a logit model. For my research, I have to estimate Euler equations using the Generalized Method of Moments. I contacted Pierre Chaussé, the creator of the gmm library for help, since I was having...

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Method of Simulated Moments with R

January 29, 2013
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Second update on my research, details here.

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Simulated Maximum Likelihood with R

January 16, 2013
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First update on my research, details here.

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New website!

December 11, 2012
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This is my new website! It’s built using jekyll-bootstrap and hosted on Github.

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