ECON-UA-20-001 Analytical Statistics New York University, Spring 2013 Professor: Edward Vytlacil Oce: 19 W4th St, Room

807 Oce Hours: Thursdays 1:30pm-3pm, and by appointment E-mail: vytlacil@nyu.edu TA: Mi Luo Oce Hours: TBD E-mail: mi.luo@nyu.edu

Lecture: Tuesdays and Thursdays 3:30-4:45pm Room 206, Silver Center for Arts and Science, 100 Washington Square East (at Washington Square North). Lab Sessions: There will be mandatory weekly lab sessions. You must register for lecture and a lab session separately. GCASL 361 (Global Center, 238 Thompson Street) Section 002: Fridays, 12:30-1:45pm, Section 003: Fridays, 2:00-3:15pm

Prerequisite: MATH-UA 122, Mathematics for Economics II MATH-UA 122 or equivalent is required for this course. Students are expected to be comfortable with basic multivariate calculus and to be comfortable with basic linear algebra. Students who are not comfortable with basic multivariate calculus and linear algebra are not prepared for this course.

Course Objectives Introduction to statistical reasoning. Topics covered include probability theory, an introduction to distribution theory, introduction to estimation, and an introduction to inference. The course will include Lab sessions enable the student to run a wide variety of computer experiments and to simulate all distributions that are discussed as well as to experiment with a wide variety of statistical procedures. By the end of the course, you are expected to have (a) Formal understanding of probability theory and statistical theory, including the ability to display formal analytical skills such as the ability to construct rigorous proofs. (b) Ability to apply statistical analysis in empirical research. (c) Solid background for econometrics (in particular, for Econ UA 266: Introduction to Econometrics) Required Textbook: Hogg and Tanis, Probability and Statistical Inference, 8th ed, Textbook available at NYU Bookstore. We will cover chapters 1 to 7 of the textbook. Grading: Your grade will be based upon weekly problem sets (25%), a midterm (25%), and a nal exam (50%). 1. You will receive a weekly problem set, due at the end of class on Tuesday of the following week. Problem sets should be turned into the professor at the end of class. All late homework will be assigned a grade of 0. I will drop your two lowest problem set grade. 2. The midterm will be on Thursday, March 14, in class. 3. The nal exam will be on Thursday, May 16, 4pm-5:50pm. Out of Class Collaboration: You are allowed (encouraged) to work together in groups for the problem sets, but each student must turn in an individual problem set with their own solutions. It is not a violation of this policy to submit essentially the same answer on a problem set as another student, but is a violation of this policy to submit a close to exact copy.

Policy on Missed Work: I will drop the two lowest problem sets. If you miss a problem set for any reason (e.g., illness, extra-curricular activities, etc.), it will count as one of the two lowest problem set scores and be dropped. The midterm and nal exam dates are not exible, the only exceptions are: (a) A documented medical excuse (b) A university sponsored event such as an athletic tournament, a play, or a musical performance. Athletic practices and rehearsals do not fall into this category. Please have your coach, conductor, or other faculty advisor contact your instructor. (c) A religious holiday. (d) Extreme hardship such as a family emergency. If you require additional accommodations as determined by the Center for Student Disabilities, please let your instructor know as soon as possible.

Outline for Course: (TENTATIVE) (all readings from textbook) 1. Probability Theory Topics include: Properties of probability and conditional probability, independence, Bayess Theorem. Required Reading: Chapters 1 2. Distribution Theory for Random Variables Topics include: Discrete and continuous random variables; expectation, variance, and rules for expectation and variance; cumulative distribution functions and probability density and probability mass functions; common distributions. Required Reading: Chapters 2-3, except for 2.5, 2.6, 3.7. Within section 3.5, only the chi-square distribution is required. 3. Distribution Theory for Random Vectors Topics include: Distribution of random vectors, conditional distributions, measures of dependence including the correlation coecient, the multivariate normal distribution. Required Reading: Chapter 4. 4. Distribution Theory for Functions of Random Vectors Topics include: Distribution theory for functions of random vectors; random samples, sample statistics. Required Reading: Chapter 5, except for 5.4, 5.7. 5. Estimation Topics include: General classes of estimators including maximum likelihood estimators and method of moments; evaluating estimators (small sample properties: bias, variance, mean square error; large sample properties: consistency, asymptotic normality), deriving sampling distributions of estimators. Required Reading: Chapter 6 and 10.5. 6. Inference Topics include: Size and power of a test; p-values; examples of tests. Required Reading: Chapter 7, except for 7.5 and 7.6; Chapter 10.2.