[R] Using R for large econometric models

[John C Frain]

I take it your friend is interested in large scale macro econometric
models involving perhaps more than a thousand equations.   The
software one would like to use might involve managing the model
database, estimating the model and simulating the model.  If the model
involves rational expectations these simulations will be very
demanding.  R would probably handle a lot of the estimation
requirements and probably most of the data management.  I do not know
of anyone that has handled the more elaborate RE simulations in R.  It
would involve considerable programming.  The only free software that
does this kind of work is the Fair-Parke program available from
http://fairmodel.econ.yale.edu/.

If the model has been set up by another person you might be advised to
use the software that the maintainers of the model use.  TROLL is
widely used in Central Banks and organisations such as the IMF ECB
etc.  It would be a fairly big job to translate a large scale macro
model from a system such as TROLL or MODELEASY or similar to another
language.

If the model is relatively small then any statistical system that can
store data, estimate structural equations and simulate them is ideal.
R would be suitable in this case.  If RE are involved you may need
special software or some programming.

Best Regards

John

On 07/11/2007, Dietrich Trenkler <Dietrich.Trenkler at uni-osnabrueck.de> wrote:
> Dear helpeRs,
>
> a colleague of mine would like to give R a try.  He uses econometric
> models which typically involve a large number of variables, esp. time
> series.  Having no experience with handling very large data sets myself
> I turn to you.
>
> 1. Could you please describe your experiences to cope with these
>   situations?
>
> 2. What kind of difficulties will he have to face? Are there special
>   tricks (packages) he might try?
>
> 3. Can you recommend to use R?
>
>
> Sorry, if my question is a bit vague but at this point I'm not able to
> give any further details.
>
> Any help is very much appreciated.
>
> D. Trenkler
>
> --
> Dietrich Trenkler c/o Universitaet Osnabrueck
> Rolandstr. 8; D-49069 Osnabrueck, Germany
> email: Dietrich.Trenkler at Uni-Osnabrueck.de
>
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>


-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com