I haven’t taught econometrics for over a year now, but the next time I do, I’ll be using Quandl! Quandl is a repository of data: “when a user clicks on a dataset on Quandl, the Quandl engine goes to the original publisher of that data, retrieves the freshest version of that data, and presents it to the user.” There’s a lot of data online, but it’s really nice that they’ve aggregated so much here and made it extremely easy to access.
They have a nice R package that hooks into the Quandl API, allowing you to seamlessly (once you have your authentication token) import data direct from their servers – circumventing one of the major issues for new R users – importing and getting the data structured correctly.
They’ve provided an extremely brief “econometrics” tutorial and their own R cheat sheet.
