Econometric Analysis of Panel Data

Objectives

The aim of this course is to provide the tools needed to estimate econometric models on panel data. The course describes the methods and their practical application. Numerical examples and empirical research are presented throughout the course to illustrate the use of these methods.

Course outline

* Introduction
Some examples of panel data sets
Specificities of panel data: advantages and challenges
Definitions and notations

* Data description
Panel structure
Nature and variability of variables
Graphical representations

* Static linear models
Pooled models
Fixed effects models
Random effects models
Models with instrumental variables

* Static nonlinear models
Binary outcome/count data models
Censored data models

* Dynamic models
Arellano-Bond estimator

* Extensions
Mixed effects models
Random coefficient models

* Analysis of articles
Students will be asked to read an applied econometrics article that takes up and extends the various methods covered in the course. Topics will include health economics, spatial economics and marketing.

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Prerequisites

Advanced microeconometrics