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 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
– Illustration
– Definitions
– Notations
– Writing the panel model
– Operators

Static linear model
– Fixed-effects model
– Random effects model

Correlated individual effects linear model
– The Mundlak and Chamberlain approach
– Instrumental variable methods
– Estimation of the dynamic panel model
– Some examples

Extensions
– The random coefficient model
– Non-linear panel 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.

Prerequisites

Advanced microeconometrics.