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  • MIT (14.32) Spring 2009 J. Angrist Lecture Note 5 Confidence Intervals

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    Héctor Flores
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    This document provides an overview of confidence intervals. It defines a (1-α) level confidence interval for a mean as an interval constructed so that if the interval is computed for multiple samples, it will bracket the true mean α% of the time. It also defines a confidence interval for the difference between two means. An example is given of using a confidence interval to analyze the effect of a voucher experiment on job finding. Finally, it mentions a Monte Carlo study on the coverage rate of confidence intervals for male/female wage differences.

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    This document provides an overview of confidence intervals. It defines a (1-α) level confidence interval for a mean as an interval constructed so that if the interval is computed for multiple samples, it will bracket the true mean α% of the time. It also defines a confidence interval for the difference between two means. An example is given of using a confidence interval to analyze the effect of a voucher experiment on job finding. Finally, it mentions a Monte Carlo study on the coverage rate of confidence intervals for male/female wage differences.

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    © All Rights Reserved
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    Markieren Sie unangemessene Inhalte
    73 Ansichten2 Seiten

    MIT (14.32) Spring 2009 J. Angrist Lecture Note 5 Confidence Intervals

    Hochgeladen von

    Héctor Flores
    This document provides an overview of confidence intervals. It defines a (1-α) level confidence interval for a mean as an interval constructed so that if the interval is computed for multiple samples, it will bracket the true mean α% of the time. It also defines a confidence interval for the difference between two means. An example is given of using a confidence interval to analyze the effect of a voucher experiment on job finding. Finally, it mentions a Monte Carlo study on the coverage rate of confidence intervals for male/female wage differences.

    Copyright:

    © All Rights Reserved
    Als PDF, TXT herunterladen oder online auf Scribd lesen
    Markieren Sie unangemessene Inhalte
    von 2

    MIT(14.

    32)
    J.Angrist

    Spring2009

    1.Confidenceintervalforamean

    LectureNote5
    ConfidenceIntervals

    Recall:

    T=[mXX]/[sX/N]t(N1)

    (forNormaldata)

    Or:

    T[approximately]N(0,1)

    (bytheCLT)

    Letc/2bethecriticalvalueforantwosidedleveltestintheappropriatesamplingdistribution.Then:
    Substituting,wehave:

    P[c/2Tc/2]=1

    P[mXc/2(sX/N)XmX+c/2(sX/N)]=1
    Example:TN(0,1),=.10,c/2=1.64.
    Wesaythat,
    [mXc/2(sX/N),mX+c/2(sX/N)]
    providesan(1)levelconfidenceintervalforX.
    Thismeansthatifwecomputetheintervalinrepeatedsamples,thenpercentofthetime,theinterval
    willbracketX.Note:theintervalisrandomXisfixed.
    Inpractice,weoftenusecriticalvaluesfromaNormaldistribution.
    Ruleofthumbfora95%confidenceinterval:plus/minustwostandarderrorsb/cif=.05,c/2=1.96.
    2.Confidenceintervalforadifferenceinmeans
    ([m1m2][12])/([s12/N1]+[s22/N2])t(N1+N22)approx.N(0,1)byCLT
    Lets*=([s12/N1]+[s22/N2]).Thisisthestandarderrorofthedifferenceintwomeans.
    Then:
    P[(m1m2)c/2s*12(m1m2)+c/2s*]=1
    3.Example:confidenceintervalfortheeffectoftheDaytonVoucherExperimentonjobfinding
    (attached)
    4.MonteCarlostudyofthecoveragerateofaconfidenceintervalformale/femalewagedifferences
    (attached)

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