Statistics for Experimental Economists SS 2007

This course is part of the International Max Planck Research School on Adapting Behavior in a Fundamentally Uncertain World. The target group are students who, due to the interdisciplinary nature of the IMPRS school, do not have any background in statistics

Termin:

Lecture (daily): 13.8.-17.8., 8:15-9:45, 14:15-14:45

Topics:

• Introduction
• Elementary Probability Calculus
• Random Variables
• Stochastic Models and Distributions
• Limit Theorems
• Point Estimation
• Estimation of Intervals
• Basic Statistical Tests
• OLS Regression
• Maximum Likelihood (if time permits)
• Choice Models (if time permits)
• Censored Models (if time permits)

Software

For our practical examples (during the entire course) we will use the software environment R. I think that it is helpful to coordinate on one environment and R has the advantage of being free and rather powerful.

• Documentation for R is provided via the build in help but also through the R Homepage. Useful is An Introduction to R, The R language definition, Simple R, and Econometrics in R.
• A first entry into R eased through mice and menues is available through the R Commander.
• Users of Firefox get access to R help through the R Site Search Sidebar. However, this is a bit tricky. If the rsitesearch.xpi package does not install, open the package (e.g. in Emacs) and change two values in install.rdf: Set maxVersion to a version at least as large as the version of your browser. Set updateURL to an empty value.
• In the lecture I use the versatile editor Emacs with the ESS interface (ESS also helps with Stata, SAS, Splus, BUGS, and others).

Handout + Exam

The handout will be updated a few times. Data is also attached to the handout. If you wish you can have a look at the exam. I have added some notes that might help you in finding a solution.

Literature

• Stock and Watson; Introduction to Econometrics; 2nd Edition; Pearson 2006.
• Michael Murray; Econometrics, a Modern Introduction; Pearson 2006
• William Greene, Econometric Analysis, Prentice Hall, 6th Edition, 2003.
• Christian Gourieroux and Alain Monfort, Statistics and Econometric Models, Vol. 1, Cambridge, 1995.