Rakknar wrote:
    Hello everybody. I've been learning R for about a month to do a
econometric study and now i'm stuck with some problems to make R do the
things I want. Here I give the list of things I wanna do from the most
simple to the more complex (for me of course):

1. Make a log. I've been using Stata and there i have a great tool to
register what the program do: the log file, wich it's a simple .txt file
where Stata writes every output it makes (not graphics of course). When I
wanted to make the same thing with R I started to use the function sink()
but it only register the results of the commands (summaries for example) and
not the commands itself, witch it's really uncomfortable because it's harder
to find out to witch command that results come from.

Hi Rakknar,
To echo what others have said, it is often easier to write a script (in STATA terms, a "do" file) of commands and then "source" the script. When it runs to your satisfaction, usually not the first time for me, there are several ways to store the output. Both the R2HTML and prettyR packages contain methods to store output as HTML files. You can store both the commands and output in the same file.
2. Saving objects in a .Rdata step by step. I want to save several
regressions of interest in one .Rdata file. I want to save this results one
by one. For example: make regression 1, save the result in the .Rdata file;
then make the regression 2 and save the results in the same .Rdata file. I
know I could make all the regressions and save the results all at once but
for the kind of study I want to make It would be much useful this way. I've
been using function save() but I only could save one result or all.

You can save one object at a time if you want, and do it during a script. I usually save the primary data object after I have translated it from whatever format it came to me. You can save subsets of the data as different files and simply use "load" to read in the data you want. "load" can also signal if the data is not there, albeit in a fairly messy way.
3. Conditional reading. I want to run regressions conditional to the
existence of a .Rdata file (the one I would be making in step two). The
condition would be something like
If "you find X.Rdata file" run regression with X.Rdata data else run
regression from the 0.

I hope I can find help here.

Thanks!!

Jim

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