Oliver Kirchkamp
[A picture of Oliver Kirchkamp]

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.

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 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:
    Start Rgui.exe and 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 Ecdat
  • In the lecture we will use RStudio as a front end.
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.