statistical methods in economics pdf
- December 6, 2020 -
The Quarterly Journal, centipede game. This textbook will familiarize students in economics and business, as well as practitioners, with the basic principles, techniques, and applications of applied statistics, statistical testing, and multivariate data analysis. Journal of. In this early, period, at least before the 1960s, a number of debates took place, among economists because inferential statistics were initially the fruit. This lack of openness toward alterna-, tive methods is probably the price to pay for. ch01.pdf - STAT8007 Statistical Methods in Economics and Finance Chapter 1 Linear Regression Models \u2014 A Review Department of Statistics and Actuarial, Department of Statistics and Actuarial Science, phenomena based on the concurrent development of theory, and observation, related by appropriate models of inference, — Nobel laureates in economics, Paul Samuelson, Tjalling, is the branch of economics that provides the, competing claims about the magnitude, and. We used the structure of, starting point to discriminate different types of experiments. rule: An experimental study. 637. auctions, and tacit communication. generalize from sample to population (through hypothesis-testing, descriptive statistics meant to summarize data (through computations, of means, medians, standard deviations and so on). when the equation to estimate in the regression is considered as a general model (for instance, utility functions, bid functions in auction experiments, learning models), the article was, classified in the structural modeling category. . Economic Inquiry, 31(2), 237, of sealed-bid auction theory; calibrating controls for risk aversion. 131. types in humans: A complement to evolutionary theory and simulations. Statistical Methods 415 of factual information range from individual experience to reports in the news media, government records, and articles published in professional journals. Statistical testing, corresponding to NHST, with three subcategories: parametric, non-parametric, or both parametric and non-parametric testing. Marketing, tion processing in English common value auctions. It begins with a discussion on sampling techniques used to collect survey data. That Smith is the only author we found discussing, s influential handbook contains eight chapters dedicated to, s handbook. Keywords: statistical methods, inference, models, clinical, software, bootstrap, resampling, PCA, ICA Abstract: Statistics represents that body of methods … (Smith and McCloskey, personal communication to the authors, 27/05/2017). The American Economic Review, buyer- determined and price-based multiattribute mechanisms. Journal of personality, 40(3), 483, Econometrica: Journal of the Econometric Society, 667, hyperinflationary world: experimental evidence. How noise trading affects mar-. The choice of the mid-1990s as the, separating point is primarily motivated by the sampling procedures, that we have used to conduct our quantitative analysis (which are, detailed in the sections below). Although the parallel will not hold, anymore in the next section, for the period considered here one, cannot discard an eventual weak influence from microeconometrics. To do so, we conduct a quantitative analysis of papers published in the 1970–2010 period. Economic inquiry, 45(4). The Quarterly Journal of Economics, 117(3), 817, achter, S., & Fehr, E. (2001). Hence we retrieved references from two behavioural eco-, distinguish anymore between economic and psychological individual, The justifications for the bounds of the period studied in this sec-, tion are straightforward: 1995 is our lower bound because it was the, upper bound of the previous period and 2010 is our upper bo, because this is the oldest publication date of articles sampled from the, earliest of the surveys we used as a sources (Chaudhuri, main result is that purely descriptive statistics almost disappeared, from the literature. The Economic Journal, 109(454), 80, actions increase or decrease competition in experimental oli-, on collusion and efficiency in experimental markets. fields) and is particularly widely used in auction experiments (40%), industrial organization (40%), and individual DM (30%). Regression is regarded as a step toward structural modeling; it, relies indeed on an equation to estimate, which suggests a plausible theoretical model. This is one of over 2,200 courses on OCW. Social preferences, beliefs, and the, dynamics of free riding in public goods experiments. we ended up with six types of experiments: industrial organization, auctions, public goods, individual decision-making in economics, indi-, vidual decision making in psychology, and asset markets. The Journal. role of economic theory for empirical work. Find materials for this course in the pages linked along the left. $8.25 The American Economic. STAT8007 Statistical Methods in Economics and Finance Chapter 1 Linear Regression Models — A Review Department of Science, 312(5770), 108. contributions to public goods. oligopolistic markets: an experimental examination of the ethyl case. We insist that all of. We found that all types. The, Temporal correction in affective forecasting. We thus proceeded to some re-, s chapter on individual-decision making. The main criterion is the purpose of the, regression. the Journal of, An experimental comparison of auction and dealer markets. Psychological review, 85(5), 395. determinants of confidence. To sample articles after 1995, we had to rely o. sponds to one of the six types of experiments (cf. Weather forecasts, market reports, costs of living indexes, and the results of public opinion are some other examples. The American eco-. repeated gambles and retirement investments. Are people conditionally, cooperative? It should, also be noted that regressions get also more sophisticated (, the control subcategory) in the sense that they involve more complex, There is no contemporary handbook that mimics the structure of Kagel and Roth, terms of types of experiments, including their second volume of the handbook (Kagel and, chapter in the first volume: Kagel and Levin, the survey for auctions for the period covered in this section. . We investigate some of the relevant accounting rules, and find that advanced purchases (e.g., a case of wine) are typically treated as "investments" rather than spending. of experiments do not significantly differ anymore at the 1% level. Postgraduate level: Master/Ph.D of ECON/FIN/STAT, etc. Also, our classification is based on the idea of a general, statistical methodology, that goes from descriptive, provides the main result of our analysis from 1970 to, Statistical methods in experimental economics across domains, 1971, marking a gradual disappearance of the consensus of the Cowles, s structural approach to econometrics, which neverthe-, ). tle surprising given that, in the neighboring discipline of psychology, the uses of statistical methods in experiments did raise a lot of meth-, odological discussions from the 1960s onward. The RAND Journal of Economics. Unifying a wealth of information from ongoing studies in strategic behavior, he takes the experimental science of behavioral economics a major step forward. Journal of, Evidence from large-scale experimental financial markets. Journal of Economic. However, one shared aspect of experimental economics and, econometrics (and other areas of economics) is how econo, ory is the main motivator of empirical work. support for an observation, the article was classified in the regression category. The, design: Theory and behavior of simultaneous multiple-unit, generalizations of the Dutch and English auctions. It seems that publication standards after 1995. require at least statistical testing in the interpretation of data. the mental accounting of delayed consumption. Theory and Misbehavior of First-Price Auctions: The First Fifty Years of Modern Econometrics. Our classification might be criticized because we, included in the structural modeling category some articles using very basic statistical tools, for, instance linear OLS regression of bid functions in auction experiments. of diverse information in laboratory security markets. The, with no feedback in a competitive guessing. Journal of political economy, 101(1), 119. and endogenous expectations in experimental spot asset markets. Review of Financial. Econometrica. are not the subject of, this book, so I shall not get into the technical details of data analysis, which can differ considerably depending on the type of experiment, According to Guala, statistics do not really matter in experimental, We will refer in this paper to (1) and (2) as the experiment-depend-, ency hypothesis and the technical hypothesis, respectively. Psychological review, 95(3), 371. and choices in gambling decisions. Regression, with three subcategories: simple regression (OLS), probit-logit-, tobit and control. However, many forms of survey data analysis can be done with a spread sheet program such as EXCEL, which is part of … relationships. Evolution and human behavior, 25(2), 63, achter, S. (2008). They both, in microeconometrics, whereby researchers fo, Evolution of statistical methods in experimental economics between 1971, the body of econometric techniques that are custo, ). Asset mar-, ket experiments are relatively similar to auction experiments in this, regard, even if both regressions and structural modelling remain in, minority (40%) in this type of experiment. Welcome! Willingness to Accept and Willingness to Pay Measures of Value. The last subcategory (control) refers to more, sophisticated types of regression including at least one of the following. (Personal communication to the authors, 27/05/2017). American Political Science Review, private provision of public goods. Although we offer some speculations regarding, weaker possible connections, this absence of obvious strong connec-, tion suggests that the use of statistical methods is indeed a topic wor-, thy of future investigation to further our understanding of the history, A last word is in order to justify our choices regarding the temporal, we have conducted a quantitative (bibliometric) analysis of publica-, tions in experimental economics. raised by statistical methods outside of his scope as follows: (significance tests, correlation, regression analysis, etc.) PhD Diss, University of Utrecht. Until the second half of the 1980s, a, growing number of experimental researches are conducted by, economists who did not immediately (i.e., in the 1970s) see them-, selves as building a research community, but eventually did so, (especially in the 1980s). Organizational Behavior and Human Decision Processes, equilibrium: an empirical study of speculation. The American Economic Review, elicit true preferences? Furthermore, the majority of the experime, statistical hypothesis testing. That, -test. Emergence, Consolidation, and Erosion of a Consensus. The techniques used for this job, -values without any methodological discussion of the, noise and variability in experimental data, ) systematically use a similar distinction between technical, ). He does so in lucid, friendly prose. EC333 Problems of Applied Econometrics Introduction to Statistical Methods in Economics Lecture Altruistic punishment in humans. Some of these debates were broadly methodological, i.e., about issues such as the status of economic theories as laws or, hypotheses, the nature of economic phenomena as random or deter-, ministic and whether economic phenomena were not too interrelated, to sensibly isolate one from another as required in the methodology, of experiments. Journal of political, theories. : Experimental financial markets with cumulative information. Therefore, historians of economic thought, The history of economics has often been described as the “history of economic thought.” In this essay, I explore an alternative perspective that builds on the French tradition of historical epistemology and treats economics as a social practice. The participants' contribution and their lively discussion provide a wealth of insights into the emergence of experimental economics as a field of research. Nevertheless, 20% cannot be said to represent a quan-, titatively important use of this technique. Journal of con-, Stable demand curves without stable preferences. Journal of Economic Behavior & Organization, in first price auctions. These methods … transportation: an experimental approach. Durham, Y., J. Hirshleifer, and V. L. Smith. An eventual influence of the practices in non-experimental empir-, ical work in economics on experimental work related to economics, does not seem to be disconfirmed when looking at the 1960s. New Jersey, USA: Princeton University Press. Even when descriptive statistics, plays an important role as it does in public goods, industrial organ, ization and individual decision-making, the main goal was not the, atheoretical experimental observation of new regularities, but to, provide quick empirical answers to questions derived from eco-, nomic theory. tion acquisition: Experimental analysis of a boundedly rational model. An R program for the scatter plot is as follows: plot(x, y, col="blue", xlab = "Income", ylab = "Food"), Do you believe that the true relationship between the food. On the other hand, the absence of debates or even discussions on the, kinds of methodological issues that played a role in the history of, econometrics (e.g., deterministic vs. probabilistic nature of economic, phenomena, economic theories as laws vs. hypotheses and so on) can, be taken as evidence in favour of the technical hypothesis: the uses of, statistical methods in experiments related to economics does not raise, It can be argued that the validity of the technical hypothesis is a lit-. Homewood, Illinois, Richard D. Irwin, 1966. xiv, 373 p. 9“. volatility: an experimental study. cooperation in public good situations. ), the latter is used as a proxy of income. To sum up. Vernon Smith recalled the following anecdote: We did so in the text using a likelihood ratio test making it easy to add, running footnotes to convert the ratio into a posterior. Savage. and sanctions in provision of public goods. STATISTICAL METHODS 1 STATISTICAL METHODS Arnaud Delorme, Swartz Center for Computational Neuroscience, INC, University of San Diego California, CA92093-0961, La Jolla, USA. The American Economic Review, willingness to accept and willingness to pay measures of value. By Harold W. Guthrie. Testing competing models of loss aversion: an adversarial collaboration. Welcome! Journal of Public Economics. One plausible explanation is that the practices of non-experi-, mental empirical work in economics from the 1930s to the late 1950s, (i.e., using only descriptive statistics) influenced the practices of, experimental work with explicit implications for economics over the, same period. Journal of, experimental social psychology, 13(3), 279, outcome knowledge on judgment under uncertainty. The Journal of Finance. This workbook shows how to use economic theories, statistical and econometric methods for conducting research to find answers to puzzling issues in modern economies. Becker, G. M., M. H. DeGroot, and J. Marschak. On the, other hand, there is the introduction of experimental economics, within mainstream economics, which is particularly marked by a, optimum in first-price auctions should be measured from pay-off, space instead of message space (as in previous studies). The American. The Role of Conflict in Economic Decision-Making Groups: On the Power of Statistical Tests in the American, Behavioral Game Theory: Experiments in Strategic Interaction, Sustaining Cooperation in Laboratory Public Goods, The Statistical Power of Abnormal-Social Psychological Re-, The Journal of Abnormal and Social Psychology, The Value of Time in Bargaining Negotiations: Some, Collusion in Oligopoly: An Experiment on the Effect of, Distortion of Subjective Probabilities as a Reaction to. By different, types of experiments we mean for instance the differences between, market experiments, auction experiments, public good experiments, and individual decision making experiments. Gaining Experiments: Motives, Variations, and a Survey of the Recent, Palgrave Handbook of Econometrics. From the 1930s until the end of the 1950s, one can find a few, articles using experiments with explicit implications for economics, (though not always conducted by economists), especially regarding, With the exception of Davidson and Marshack (, ential statistics, all the other references used only descriptive statistics, to analyze the results of their experiments. American Political Science, contributing set as a solution to public goods problems. No potential conflict of interest was reported by the authors. petitive equilibrium: an empirical study of speculation. markets? We also dis-, tinguished in individual DM between psychological publications and, economic publications, as we suspected (from what we argued in the, introduction) important differences in statistical methods between the, two disciplines. To investigate whether the types of experiments significantly dif-, fered from each other on the statistical methods used, we performed, Cramer von Mises tests between proportions for each subfield and the, average proportions for all other types of experiments excluding the, We found that four types of experiments (auctions, public, goods, individual decision-making in psychology, asset markets) are. The American Economic Review, 891, achter, S. (2010). behavior: The voluntary contribution mechanism. European Economic Review, rivals' types in standard auctions: An experiment. The second half of this book is related to computer-intensive statistical techniques other than Monte Carlo methods Economic Theory. international Journal of industrial. Email: firstname.lastname@example.org. Princeton, Intransitivity, Utility, and the Aggregation of Preference, Econometrica: Journal of the Econometric Society, Experimetrics: Econometrics for Experimental Economics, Early Experiments in Consumer Demand Theory: 1930, Statistical Inference: A Commentary for the Social and, Nature, the Experimental Laboratory, and the, The interpretation of Levels of Significance by. (4) Testing and Verifying the Hypothesis: The final step in the deductive method is to test and verify the hypothesis. Econometrica: Journal of the Econometric, Economic Behavior & Organization 7.1 (1986): 47. goods. Furthermore, socio-history of quanti cation (Desrosi eres, 1993) points that statistical methods also shape the content of concepts under estimation. Journal of public, experiments. The American Economic Review, 95(5), 1427, asymmetric information: an experimental investigation. On the other side, the majority of auction experiments, (55%) apply regression techniques and structural modelling. Management science, 35(3), 270, probability distortions, and insurance decisions. Journal of risk and uncertainty, demanded: Experimental evidence of an unexpected disparity in, measures of value. Basingstoke, UK: Springer. lemons, and reputation formation in agency relationships: A laboratory. The Journal of Finance, 58(2), 821, Journal of financial Economics, 55(3), 425, Ambiguity in asset markets: Theory and experiment. It is virtually impossible to avoid data The Test of Significance in Psychological Research. For this purpose, economists now use statistical and econometric methods. And in any case, it is the contrast between these, experiments and contemporary developments in econometrics and. We performed the same Cramer, von Mises test as in the previous section between each type of experi-, ment and the rest of the types of experiments. why the domain in which he was the most active at that time, i.e., market experiments (including both auction and asset markets), is, marked by a relatively high level of statistical sophistication in, Finally, we can note that the diversity in statistical methods, that we observed in this section characterizes a period that saw, the gradual establishment of experimental economics as a self-con-, scious research community up until the point at which it was, introduced in the mainstream of economics. Antisocial punishment across, confusion?. Given the relatively strong tendency that we observe, we do not. Management. Experimental Economics. The econometric model can either be a single-equation regression model or may consist a system of simultaneous equations . $8.25. Econometrica: Journal of the Econometric, interpretation of risk taking. We found significant differences, for auctions, asset markets and IO at the 5% significance level only. Based on a number of well-documented historical accounts, the, period from the early 1920s to the late 1960s can be characterized by, took place in the kinds of statistical methods considered by econo-, mists to relate economic theory with empirical data (Epstein, gration and adaptation, in economics, of inferential statistics meant to. Statistical programmes are oriented to different agricultural courses at the Faculty. This specificity of Smith can maybe (and if so, only partly) explain, The exchange started with McCloskey arguing that, to Smith, November 8, 1993, Box 18, Folder Sept, Rubenstein library, Duke University). Don't show me this again. performance: some laboratory evidence. Time series:This type of data consists of measurements on one or more variables (such as gross do… In 1857, German statistician Ernst Engel formulated his, spend a smaller fraction of their income on food, Using the food expenditure budget data saved in file, for 198 Belgian food expenditures in 1855 to, The data contains two variables: food expenditure. Statistics for Business and Economics 7 Statistics is the science and art of making sense of both quantitative and qualitative data. Bayesians. of statistical methods across types of experiments). They are designed to be used along with any reasonable statistics textbook. Statistical Methods in Economics. Popular programs include SAS, SPSS and STATA. Journal of public Economics. We found that the val-, idity of the technical hypothesis holds over the three periods, there is an increasing technicality of statistical methods that is never, marked by methodological debates or discussions about those meth-, ods. An experimental test of the, impact of overconfidence and gender on trading activity. An emphasis is placed on mastering a wide use of statistical methods in order to allow the students to apply these techniques in many fields of agricultural As in the previous section, we did not find sig-, none of the statistical tests of significance, Preferences, Property Rights and Anonymity in Bargaining, provides the results of our post-1995 analysis. Games and Economic Behavior, 54(1), 134. ency, and rewards in antitrust. It is rather a weak one related to the gen-, eral intellectual atmosphere surrounding a certain community of, Reading the set of experimental contributions from the 1930s to the, 1960s, we could not detect any evidence in favour of the experiment-, dependency hypothesis: the uses of descriptive or inferential statistics, did not seem to depend on the type of experiment conducted (e.g., on. Journal of public Economics. textbooks displaying procedures to apply the structural approach. equilibrium selection mechanism: Coordination failure, game form. It is worth noticing th, Moffatt is also well in line with the tendency identified between this and the previous section, because he is a strong supporter of structural modeling, We also found a lack of methodological reflections about alternative. The Hong Kong University of Science and Technology, STA2001_Unit 2_Hypothesis Testing_student version, The Hong Kong University of Science and Technology â¢ STAT 8007, The Hong Kong University of Science and Technology â¢ STAT 3002, The Hong Kong University of Science and Technology â¢ STAT 2001, The University of Hong Kong â¢ STAT 8007, The Hong Kong University of Science and Technology â¢ STAT 6013. This can be argued from the historical account of, the mid-1990s marked a strong increase in the number of computer-, ized laboratories where economists conducted experiments. Experiments: A Selective Survey of the Literature. They do this using statistical software packages that are designed for research professionals. T-stats from Cramer von, Mises test are clearly decreasing between the two periods, thus confirming this process of. This probably explains why ANOVA is relatively rare in economics, while it has been so important in experimental psychology (Rucci and Tweney, Similarly, we found that ANOVA was frequent in individual DM in psychology and almost, In our initial classification, maximum-likelihood estimates were required for articles to be, classified as structural modeling. View ch01.pdf from STAT 8007 at The Hong Kong University of Science and Technology. Experimental Economics: Rethinking the Rules, 2016 Hes Presidential Address: Statistical Inference in. Journal of Public Economics, ment in voluntary contribution experiments. Monetary transactions in which consumption is temporally separated from purchase naturally lend themselves to multiple frames and to alternative accounting schemes, which nonetheless maintain a modicum of discipline and authenticity. Hara, M. (2000). The history of experimental economics marked an, (re-)establishment of a symmetry between observation and theory, by contrast with a more intuitive characterization as the introduction, of experimental methods in economics, which does not hold historical, scrutiny. The American eco-. Experimental eco, mists were choosing between alternative theoretical explanations on, the ground of relevant approximations.
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