Central European University Department of Economics

Fall 2010

1. Name of Course: Mathematical Statistics a 2. Lecturers: Adm Rei, Plma Mosberger (TA) a 3. Number of Credits: 2 CEU credits (4 ECTS credits) 4. Semester or Time Period of the Course: Fall term 5. Pre-requisites: Pre-session Mathematics 6. Course Level: MA 1st year core (compulsory) course 7. Course Outline: The course discusses the mathematical foundations of basic statistical tools that are frequently used in econometric analysis. 8. The Goal of the Course: The course is a pre-requisite for the Econometrics I course later in the fall semester. Students passing the exam should be familiar with the basic statistical concepts (samples, estimators, properties of estimators, condence intervals, hypothesis tests, t-statistics and p-values) used intensively in econometrics, so that the later course could focus on econometric issues instead of the technicalities. 9. The Learning Outcomes of the Course: A good understanding of the following concepts: estimators, condence intervals, hypothesis tests, test statistics, p-values. 10. More Detailed Display of the Contents: Assumed background Basic calculus (at the level of pre-session maths) Basic linear algebra (at the level of pre-session maths) 1

Preliminary syllabus Mathematical essentials Samples and sampling distributions Estimators Finite and asymptotic properties of estimators General methods to prepare estimators Interval estimation Hypothesis testing 11. Assessment: 1. There will be ve problem sets during the term with a total weight of 50% (10% each). Submission deadline of the problem sets is Mondays 15:30 (before lectures). 2. There will be a nal exam for a total weight of 50%. The exam will be on 2 November, 2010 (Tuesday), between 9:00 11:30. 3. Grading: students must achieve at least 60 percent (AND at least 50 percent from the problem sets and 50 percent in the exam) to pass. Grades: 0-59: F (fail) 60-69: C 70-79: B 80-100: A

Preliminary weekly breakdown

WEEK 1 (Sep 20-24, 2010, 2 classes): Mathematical Essentials, Sampling Distributions Random variables, probability distributions Measures of central tendency, variation, association Conditional distributions, denitions of independence Higher moments and other descriptive measures of distributions Frequently used distributions and their properties The normal distribution and its properties Log-normal, t-, Chi-squared and F -distributions Material : Jerey Wooldridge: Introductory Econometrics, A Modern Approach, 2nd edition. Appendix B (pp. 696-730).

WEEK 2 (Sep 27-Oct 1, 2010, 2 classes): Sampling Distributions, Finite Sample Properties of Estimators Populations and samples Dierent types of samples Parameters Sample statistics and sampling distributions Unbiasedness Relative eciency Comparison of estimators: Mean Squared Error (MSE) Best Linear Unbiased Estimator (BLUE)-property Examples Material : Jerey Wooldridge: Introductory Econometrics, A Modern Approach, 2nd edition. Appendix C.1.-C.2. (pp. 731-740). James Clave and Frank Dietrich: Statistics, 5th edition. Chapter 6.1-6.2 (pp. 253-66).

WEEK 3 (Oct 4-8, 2010, 2 classes): Asymptotic Properties of Estimators Asymptotic unbiasedness Consistency The probability limit and its properties Continuous mapping Law of large numbers Central limit theorem Asymptotic normality Properties of sample means and variances in normal samples Examples Material : Jerey Wooldridge: Introductory Econometrics, A Modern Approach, 2nd edition. Appendix C.2.-C.3. (pp. 740-45). James Clave and Frank Dietrich: Statistics, 5th edition. Chapter 6.3-6.4 (pp. 266-79).

WEEK 4 (Oct 11-15, 2010, 2 classes): General Methods to Prepare Estimators Method of moments (MM-) estimators Maximum likelihood (ML-) estimators Least squares (LS-) estimators Dierent estimators of the parameters of frequently used distributions Concept of interval estimation Condence intervals for means and variances Determination of the sample size Condence intervals for non-normal distribution Examples

Material : Jerey Wooldridge: Introductory Econometrics, A Modern Approach, 2nd edition. Appendix C.4.-C.5. (pp. 745-56).

WEEK 5 (Oct 18-22, 2010, 2 classes): Interval Estimation, Hypothesis Testing Concept of interval estimation Condence intervals for means and variances Determination of the sample size Condence intervals for non-normal distribution Concept of hypothesis testing Null- and alternative hypothesis Type-I and type-II errors Signicance levels and powers of the tests p-values Tests for the expected value and variance of random variables Examples Material : Jerey Wooldridge: Introductory Econometrics, A Modern Approach, 2nd edition. Appendix C.6. (pp. 756-68). James Clave and Frank Dietrich: Statistics, 5th edition. Chapter 7-9 (pp. 289-449).

WEEK 6 (Oct 25-Nov 2, 2010, 1 class + Exam): Revision, Exam Exercises from all topics covered during the course