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# Applied Econometrics of Panel and Spatial Data

2021/2022
ENG
Instruction in English
5
ECTS credits
Course type:
Elective course
When:
2 year, 1 module

### Course Syllabus

#### Abstract

The course “Applied Paned Data and Spatial Econometrics” is aimed at students with background in statistics and econometrics who would like to deepen their knowledge of econometric analysis of panel data and spatial econometrics.

#### Learning Objectives

• deepen their knowledge of econometric analysis of panel data and spatial econometrics
• deepen their knowledge of econometric analysis of panel data and spatial econometrics.

#### Expected Learning Outcomes

• Be able to choose an estimator based on its statistical features, assumptions underlying related theory, and the nature of data at hand.
• Understand econometric theory underlying fixed effects and random effects models, first difference model, dynamic panel model, Taylor-Hausman model, panel data fixed effects and random effects models, first order spatial lag model and related models, panel data and binary choice spatial models, heteroscedasticity and serial correlation robust estimators.

#### Course Contents

• Introduction to panel data econometrics
• Fixed effects and related models
• The use of fixed effects and related models
• Random effects model
• Heteroscedasticity and auto-correlation in panel data models
• Dynamic panel data regression
• Binary choice panel data models
• Introduction to spatial econometrics
• First order spatial lag model and related models
• Choice of specification using spatial models
• Spatial panel data regressions
• Spatial binary choice models

#### Assessment Elements

• in-class computer test
• class participation
• written final exam
• in-class computer test
• class participation
• written final exam

#### Interim Assessment

• 2021/2022 1st module
0.3 * in-class computer test + 0.2 * class participation + 0.5 * written final exam

#### Recommended Core Bibliography

• Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, Mass: MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=78079

• Econometric analysis of panel data, Baltagi, B.H., 2008
• Verbeek, M. (2004). A Guide to Modern Econometrics (Vol. 2nd ed). Southern Gate, Chichester, West Sussex, England: John Wiley and Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=108185
• Wooldridge, J. M. . (DE-588)131680463, (DE-627)512715513, (DE-576)298669293, aut. (2013). Introductory econometrics a modern approach Jeffrey M. Wooldridge.

#### Authors

• SKOROBOGATOV ALEKSANDR SERGEEVICH