R is an open source (free!) implementation of the S Statistical Language.
At the base level it is substantially compatible with S, but at the level of contributed functions (where we often work), R often diverges from S --- in its detail, if not in its spirit.
There are pros and cons concerning R and S-plus
- R is free and S-plus is not free.
- Moreover, even if you pay for S-plus (as Wharton does), you are sometimes tormented by the fragile S-plus licence access codes.
- S-plus is thoroughly tested and professional. R is professional like much of UNIX is, but it also has some less-than-professional add-on tools, like UNIX does.
- R runs under both Microsoft and Apple OSs; S-Plus lives only in Windows world.
- S-Plus has a module, Finmetrics, which is well suited to teaching a course in financial and economic time series, especially since there is a work-along textbook.
- R has time series tools (in fact, two packages of them) and more recently a big semi-pro package, rMetrics, which has the time series tools that are most needed in financial and economic time series.
- There is not a directly relevant book, though there are some books and articles which (when patched together) will provide what one needs.
How to Get and Use R
R-Project.org is the central source for obtaining and learning about R. It provides the code, manuals, and links to a community.
This site also provides information about R packages (which are a dream to load using the R interface).
How to Get and Use rMetrics
The rMetrics homepage provides you the code and information you need to use rMetrics.
Some Books and Papers that Introduce or Review R
- Introductory Statistics with R by Peter Dalgaard is a well written statistcs text that coaches R and statistics at the same time. It does not cover time series, but it is still probably worth buying.
- Racine and Hyndman (2001) gives a review of R and comparison to S-plus. Even though R has evolved significantly in the last 5 years, this is still a useful resource if you are asking yourself "Why R? Why S?"
- Farnsworth (2005) appears to be the beginning of an econmetrics textbook that is based on R. As it sits, it has the drawback of not using rMetrics. Subsequent versions may change this. I hope they do.
Quote of the Day
When asked whether they prefer S-plus or R, eighty percent of the crew of a pirate ship flying the Jolly Roger replied, "Ahrr, Ahrr, Ahrr."
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