This question might sound very broad, but here is what I am looking for. I know there are many excellent books about econometric methods, and many excellent expository articles about econometric techniques. There are even excellent reproducible examples of econometrics, as described in this CrossValidated question. In fact the examples in this question come very close to what I am looking for; the only thing missing in those examples is that they are only research reports, without any mention of how the results of the study fared in a real-world application.
What I am looking for are documented/reproducible examples of real-world applications of econometric theory that ideally have the following characteristics:
- They should be reproducible, i.e. contain detailed description of (and pointers to) data, econometric techniques, and code. Ideally the code would be in the R language.
- There should be detailed documentation showing that the technique succeeded in the real world, according to a well-quantified measure of success (e.g. "the technique helped increase revenues because it enabled improved forecasting of demand, and here are the numbers involved")
I am using the term econometric quite broadly here -- I mean any sort of data-mining, statistical data-analysis, predictiion, forecasting or machine-learning technique. One immediate problem in finding such examples: many successful applications of econometrics are done in a for-profit setting and are therefore proprietary, so if a technique worked well, it probably will not be published (this is especially true in the case of proprietary trading strategies), but I am nevertheless hoping there are published examples that have at least property (2) above if not both (1) and (2).