I would gladly do such comparison.... but I was unable to install RMySQL successfully (it keeps crashing R).Regarding the very few tests I did (RMySQL versus RODBC using a MySQL ODBC driver, but I do not remember details here), RMySQL is faster. It should be great, if you need to access a MySQL database from R, to try both and decide by yourself. If you do that, I am very interested by the results.
I think I'll have to stick with RODBC.
Thank you all, anyway.
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