Professional Documents
Culture Documents
Fall 2014
Advanced Econometrics I
Fall 2014
Organisation
Important dates
Start: 2013-10-07
End: 2013-12-05
Lectures:
Tuesday 10:15 - 11:45 in L 7, 3-5 - 001
Thursday 10:15 - 11:45 in L 7, 3-5 - 001
Exercises:
Thursday 13:45 - 15:15 in L 9, 1-2 003
Thursday 15:30 - 17:00 in L 9, 1-2 003
teaching assistants: Maria Marchenko
Slides will be provided via Ilias, usually on Friday for the next week.
Advanced Econometrics I
Fall 2014
Exercise sheets
will be provided via Ilias and usually published on Tuesday (or
Wednesday).
hand in written solutions in lecture on Tuesday (you may work in
pairs).
discussion of the solutions on Thursday.
There is 1 point per exercise (0.25,0.5,0.75,1).
You need 75% of the points of the Exercise sheet to get (at most)
20% of the exam points.
There will be stared exercises which can be used to make up for
missing points of one exercise sheet.
Advanced Econometrics I
Fall 2014
Exam
written exam, 180 min
Date: 2014-12-17
Contact
Office: L7, 3 - 5, room 142
Phone: 1940
E-Mail: isteinke@rumms.uni-mannheim.de
Office hour: on appointment
Advanced Econometrics I
Fall 2014
Contents
Overview:
1
Probability theory
Asymptotic theory
Conditional expectations
Linear regression
Advanced Econometrics I
Fall 2014
Literature
Ash, R. B. and Doleans-Dade, C. (1999). Probability & Measure
Theory. Academic Press.
Billingsley, P. (1994). Probability and Measure. Wiley.
Hayashi, F. (2009). Econometrics. Princeton University Press.
Jacod, J. and Protter, P. (2000). Probability Essentials. Springer.
Van der Vaart, A. W. and Wellner, J. A. (2000). Weak Convergence
and Empirical Processes. With Applications to Statistics. New York:
Springer.
Wooldridge, J. M. (2004). Introductory Econometrics: A Modern
Approach. Thomson/Southwestern.
Advanced Econometrics I
Fall 2014
Introduction
Motivation
Advanced Econometrics I
Fall 2014
Y = 0 + 1 X + u,
e.g. Y consumption, X wage, u error term typically data not generated by
experiments, error term collects all other effects on consumption besides
wage
variables somehow random
How do we formalize randomness?
Ingo Steinke (Uni Mannheim)
Advanced Econometrics I
Fall 2014
Advanced Econometrics I
Fall 2014
Probability measures
Probability measures on R
Random variables
Expectation
Advanced Econometrics I
Fall 2014
10
Advanced Econometrics I
Fall 2014
11
[
i=1
Ai ) =
P(Ai )
i=1
Advanced Econometrics I
Fall 2014
12
Ai = A1 An =
Ai ,
i=1
iI
n
[
Aj = A1 An =
Aj .
j=1
jJ
{x}.
xA
Ingo Steinke (Uni Mannheim)
Advanced Econometrics I
Fall 2014
13
Recap: Series
A set is countable iff there is a set N N and a bijection
(one-to-one-map) m : N A. Then A can be written A = {a1 , a2 , . . . , an }
or A = {a1 , a2 , . . . , an , . . . }.
A series is a infinite sum and defined by
s=
ak = lim
k=1
n
X
ai
k=1
|ak | < .
k=1
Advanced Econometrics I
Fall 2014
14
ai :=
aij ,
j=1
Advanced Econometrics I
Fall 2014
15
Lemma 1.2
For a countable sample space = {i }iI (with countable I ) and a
probability measure P on . Then for every A , it holds
X
P(A) =
P({}).
A
Proof: Exercise.
Let . An event {} that only contains one element is also called an
elementary event.
Advanced Econometrics I
Fall 2014
16
Advanced Econometrics I
Fall 2014
17
Advanced Econometrics I
Fall 2014
18
Definition 1.5
A set function P : A [0, ) is a measure on (, A) if for A1 , A2 , . . .
pairwise disjoint A it holds that
!
[
X
P
Ai =
P(Ai )
( additivity)
i=1
i=1
A A.
Advanced Econometrics I
Fall 2014
19
n
[
i=1
Ai ) =
n
X
P(Ai ).
i=1
Advanced Econometrics I
Fall 2014
20
S
P(An ) P(
Ak ).
n
k=1
T
Ak ).
P(An ) P(
n
k=1
(x) Sub--additivity: P(
An )
n=1
P(An ).
n=1
Proof: Exercise.
Ingo Steinke (Uni Mannheim)
Advanced Econometrics I
Fall 2014
21
Advanced Econometrics I
Fall 2014
22
Definition 1.10
A class A of subsets of is a field if
(i) A ,
(ii) A A , then AC A ,
(iii) A1 , A2 A , then A1 A2 A .
Suppose that A is a field and define A as the smallest -field with
A A (notion: A = (A )). Then a set S
function P : A [0, ) s.t.
[
X
P (Ai )
P
Ai =
i=1
i=1
is called pre-measure.
If, in addition, P () = 1 it is called probability pre-measure.
Ingo Steinke (Uni Mannheim)
Advanced Econometrics I
Fall 2014
23
b R
Advanced Econometrics I
Fall 2014
24
Advanced Econometrics I
Fall 2014
25
P
(ai , bi ] =
P ((ai , bi ]) with notation (c, ] = (c, ).
i=1
Ingo Steinke (Uni Mannheim)
i=1
Advanced Econometrics I
Fall 2014
26
Advanced Econometrics I
Fall 2014
27
Advanced Econometrics I
Fall 2014
28
Example 1.19
1
Binomial distribution
n i
P({i}) =
(1 )(ni) for i = 0, 1, . . . , n,
i
P({i}) = 0 elsewhere. Parameter: 0 1, n 1.
Geometric distribution
P({i}) = (1 )i1 for i = 1, 2, 3 . . .
P({i}) = 0 elsewhere. Parameter: 0 1.
Poisson distribution
P({i}) =
i
e , i = 0, 1, 2, . . .
i!
Advanced Econometrics I
Fall 2014
29
f (x)dx,
a
Ingo Steinke (Uni Mannheim)
Advanced Econometrics I
Fall 2014
30
Z
f (x)dx =
g (x)dx
Advanced Econometrics I
Fall 2014
31
Example 1.22
1
Normal distribution
1
1 (x )2
f (x) =
exp
.
2 2
2
Parameter: R, > 0
Uniform distribution
f (x) =
1
1 (x)
b a [a,b]
Exponential distribution
f (x) = e x 1[0,) (x)
Parameter: > 0
Advanced Econometrics I
Fall 2014
32
Extension to Rk
The Borel -field B k is the -field generated by the open intervals
(a1 , b1 ) (ak , bk ). As in the real-valued case, probability measures on
(Rk , B k ) are uniquely defined via the multivariate distribution function:
F (b1 , . . . , bk ) = P({(x1 , . . . , xk ) : x1 b1 , . . . , xk bk }).
F is called absolutely continuous if:
Z
b1
bk
F (b1 , . . . , bk ) =
Advanced Econometrics I
Fall 2014
33
cf.(1), p.27.
Advanced Econometrics I
Fall 2014
34
it holds
Z
f (x)dx :=
Rk
Then by
Z
b1
P((a1 , b1 ] (ak , bk ]) =
bk
a1
Advanced Econometrics I
Fall 2014
35