Resampling + Mixed EffectsThis lecture is a part of MW24.3 - Quantitative Economics II from the Master Program. Ph.D. students can also obtain credits for taking this course.
- Tue., 12:15-13:45, Carl Zeiss Str. 3, SR206
- graduate students
- master students in their second year
- Econometrics I or MW 24.1 - Empirical Methods or similar.
- Exercises can be found in the handout (datasets are attached to the PDF). Participants can solve the exercises in pairs and hand in the solutions (as text or pdf) before the next lecture. No pair can hand in more than two solutions. To get a credit for the course (a part of the course) solutions to all exercises (in that part) have to be submitted in time. You can use either R (recommended) or Stata to solve the exercises.
- Jose C. Pinheiro and Douglas M. Bates, Mixed Effects Models in S and S-Plus. Springer, 2002.
- Julian J. Faraway, Extending the Linear Model with R. Chapman & Hall, 2006.
- A. C. Davison, D. V. Hinkley, Bootstrap Methods and their Application, Cambridge University Press, 1997
- Bradley Efron and Robert J. Tibshirani, An Introduction to the Bootstrap, Chapman & Hall, 1994
- 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.
For the Bayesian parts we will use JAGS. It helps if you have installed R and JAGS on your computer when we start the course.
- Documentation for R is
provided via the built in help system but also through the
- The R Guide, Jason Owen (Easy to read, explains R with the help of examples from basic statistics)
- Simple R, John Verzani (Explains R with the help of examples from basic statistics)
- Einführung in R, Günther Sawitzki (In German. Rather compact introduction.)
- Econometrics in R, Grant V. Farnsworth (The introduction to R is rather compact and pragmatic.)
- An Introduction to R, W. N. Venables und D. M. Smith (The focus is more on R as a programming language)
- The R language definition (Concentrates only on R as a programming language.)
- On the JAGS Homepage you go to the files pages, then to Manuals, to find the JAGS user manual.
- We will use the following packages:
boot, bootstrap, car, Ecdat, ellipse, foreign, Hmisc, lattice, latticeExtra, lme4, lmtest, mvtnorm, MASS, nlme, survival. If, e.g., the command
library(Ecdat)generates an error message (
Error in library(Ecdat): There is no package called 'Ecdat'), you have to install the package.
- Installing packages with Microsoft Windows:
Rgui.exeand install packages from the menu
Packages / Install Packages).
- Installing packages from advanced operating systems:
- From within R use the command
install.packages("Ecdat"), e.g., to install the package
- In the lecture we will use RStudio as a front end.
- Documentation for R is provided via the built in help system but also through the R Homepage. Useful are