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Panel Data

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
3
Кредиты
Статус:
Курс по выбору
Когда читается:
3-й курс, 4 модуль

Преподаватели

Course Syllabus

Abstract

The course is designed for third-year undergraduate students in Economics. The course is of applied nature: The material is presented, whenever possible, in a non-technical way, with examples of empirical studies published in leading international economics and finance journals discussed in class. Lectures are supplemented by computer labs, which ensures that the students get hands-on experience of analyzing real world panel data using Stata 14/15. The topics covered include: pooled OLS model, fixed- and random-effects models, dealing with unbalanced panels, measurement error in panel data, endogenous explanatory variables, the Hausman-Taylor model, and an overview of dynamic panel data models (the Nickel bias, Anderson-Hsiao estimator and Arellano-Bond estimator).
Learning Objectives

Learning Objectives

  • familiarize the students with contemporary methods of panel data analysis, starting with the pooled OLS model and ending with dynamic panel data models
Expected Learning Outcomes

Expected Learning Outcomes

  • Students should have a firm grasp of the key methods of panel data analysis
  • Students should be able to effectively apply these methods in own empirical research.
  • Students should be familiar with and be able to use key capabilities of the statistical package “Stata”, including its programming options (the so-called do-files).
Course Contents

Course Contents

  • Panel data and pooled OLS model
  • The fixed effects model
  • The random-effects model
  • Further topics in the analysis of linear panel data models
  • Dynamic panel data
Assessment Elements

Assessment Elements

  • non-blocking homework assignment
    The home assignment includes problems and/or computer exercises in Stata. The assignment will be distributed in class and will be due in approximately two weeks. The homework (only paper versions, files sent by email will not be accepted!) is to be handed in before class on the day it is due. No late homework is accepted
  • non-blocking midterm exam
    The midterm exam is a closed book, closed notes test scheduled in the middle of the course
  • non-blocking final exam
    At the end of the course there is a final exam, which is a closed book, closed notes test to be held in the classroom. The duration of the final exam is two academic hours.
Interim Assessment

Interim Assessment

  • Interim assessment (4 module)
    0.5 * final exam + 0.25 * homework assignment + 0.25 * midterm exam
Bibliography

Bibliography

Recommended Core Bibliography

  • Patrick Sevestre, & Laszlo Matyas. (2008). The Econometrics of Panel Data. Post-Print. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.hal.journl.halshs.00279977

Recommended Additional Bibliography

  • David Roodman. (2006). How to Do xtabond2: An Introduction to ‘Difference’ and ‘System. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.BDA319DD
  • Mátyás, L. (2017). The Econometrics of Multi-dimensional Panels : Theory and Applications. [N.p.]: Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1565303