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., 8:159:45, 14:1514:45
 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.
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
R Homepage.
Useful are
 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:
car, Ecdat, MASS (VR), UsingR, binom, relaimpo, lmtest, mvtnorm, lattice, clinfun, memisc, xtable
. If, e.g., the commandlibrary(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:
 With RStudio: Use the tab “Install”. Otherwise: Start
Rgui.exe
and install packages from the menuPackages / Install Packages
).  Installing packages from modern operating systems:
 From within R use the command
install.packages("Ecdat")
, e.g., to install the packageEcdat
 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
 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.