After some tweaking, I finally got Eclipse+StatET working the way I want. The first figure shows a running R session; the second figure shows the maximized running R session. The following shortcut keys are very helpful:
Ctrl + A: select what you to run;
Ctrl + R + R: run the selected program then go to the R console;
Ctrl + M: maximize the R console;
Ctril + T + 0: run Sweave of pgfSweave.
I like the way Eclipse organize the project and windows.
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