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General question: is there an R package out there that creates an Excel file? Or saves data frames as excel files? Or is it only possible to write files that already exist in a specific directory? If it is possible to create new Excel files, is there also a possibility to create multiple Excel sheets in that file?

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I believe the package openxlsx is the most popular package to do this.

Example:

library(openxlsx)
write.xlsx(iris, file = "writeXLSX1.xlsx")

And yes, you can also add multiple sheets. See a nice introduction here.

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