Panel Data

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Economics

Course type:

Compulsory course

When:

3 year, 4 module

Instructors

Muravyev, Alexander

Rodionova, Tatiana

Терещенко Дмитрий Сергеевич

Course Syllabus

Abstract

The course is designed for third-year undergraduate students in Economics. Its main goal is to familiarize the students with contemporary methods of panel data analysis, starting with the pooled OLS model and ending with dynamic panel data models. 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 R. 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

• Students’ knowledge of the foundations of statistics and econometrics is a key prerequisite for the successful completion of the course.

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

Course Contents

• 1. Panel data and pooled OLS model
• 2. The fixed effects model
• Computer lab 1. Panel data and the pooled OLS model in R
• 3. The random-effects model
• Computer lab 2. The fixed and random effects models in R
• 4. Further topics in the analysis of linear panel data models
• Computer lab 3. Advanced issues in the analysis of panel data in R
• 5. Dynamic panel data
• Computer lab 4. Dynamic panel data (DPD) in R

Assessment Elements

• Test
• Exam
• Homework

Interim Assessment

• 2024/2025 4th module
  0.5 * Exam + 0.25 * Homework + 0.25 * Test

Bibliography

Recommended Core Bibliography

• Econometric analysis of cross section and panel data, Wooldridge, J. M., 2002
• Econometric Analysis, 7th ed., international edition, 1239 p., Greene, W. H., 2012
• 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

Recommended Additional Bibliography

• The econometrics of panel data : fundamentals and recent developments in theory and practice, , 2008

Authors

• BRODSKAYA NATALYA NIKOLAEVNA