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040047 UK Panel Econometrics (MA) (2013W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Panel data (combined cross section/time series data) is a data type which has received gradually increasing interest for empirical analysis in economics. This course deals with the econometric modelling, estimation and testing of relationships for panel data. The course will cover econometric theory relevant to panel data, but will concentrate on the application of panel data methods to real world data and to address policy-relevant issues.

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Wednesday 02.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 03.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 09.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 10.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 16.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 17.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 23.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 24.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 30.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 31.10. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 06.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 07.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 13.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 14.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 20.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 21.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 27.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 28.11. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 04.12. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 05.12. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 11.12. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 12.12. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 18.12. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 08.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 09.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 15.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 16.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 22.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 23.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 29.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 30.01. 18:00 - 20:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

• Review of Basic Econometrics
o Linear Regression Model
o System of Regression Equations
o Estimation Methods (OLS, 2SLS, 3SLS)
o Hypothesis Testing and Inference
• Linear Panel Data
o Pooled Regression
o Fixed Effects Regression
o Random Effects Regression
o First Difference Model
o Model Choice and Misspecification Tests
o IV and GMM Estimation
• Dynamic Panel Regression Models
• Topics in Discrete Choice Analysis with Panel Data
o Binary Models
o Multinomial and Ordered Response Models
o Count Data
• Multi-equation models for panel data
• Time-Series Panel Data
o Unit Root Testing with Panel Data
o Cointegration Analysis with Panel Data

Assessment and permitted materials

Assessment will be based on a final exam (40%), two take-home computer-based exercises (25%) and a group project (35%).

Minimum requirements and assessment criteria

The course will provide basic econometric terminology and estimation and test principles for efficient inference with panel data, as well as showing the potential of panel data to deal with estimation biases following from heterogeneity in individual characteristics and individual behaviour. After taking the course students should be able to formulate static and dynamic econometric models for panel data on the basis of economic theories and to translate models for cross-section data and for time-series data into panel data models. Students should also be able to recognise why panel data is a richer data source than pure cross-section data, pure time-series data and repeated cross sections, and be able to estimate parameters in panel data models from actual observations and testing actual hypotheses by using suitable software. Students should also be able to read and understand project reports and journal articles that make use of the concepts and methods that are introduced in the course.

Examination topics

The course will be taught through a combination of lectures and worked examples.

Reading list

J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, Second Edition, The MIT Press, 2010.
A. Colin Cameron and Pravin K. Trivedi, Microecometrics: Methods and Applications, Cambridge University Press, 2005.
A. Colin Cameron and Pravin K. Trivedi, Microeconometrics Using Stata, Revised Edition, Stata Press, 2010.
M. Arellano, Panel Data Econometrics, Oxford University Press, 2003.
B. H. Baltagi, Econometric Analysis of Panel Data, Fourth Edition., John Wiley, New York, 2008.
C. Hsiao, Analysis of Panel Data, 2nd ed., Cambridge University Press, 2003.

Association in the course directory

Last modified: Mo 07.09.2020 15:28