Panel Data Econometrics: Theory and Practice Summer School


Summer School

Aims

The course gives the participants the opportunity to have theory sessions in the morning combined with practical cases in the computer hall with Stata in the afternoon. Participants will work in teams and Professor Verbeek will assist and give feedback. It’s been assumed that participants are familiar with basic econometric methods and models, including linear regression, serial correlation, simply hypothesis testing, heteroskedasticity, endogeneity and instrumental variables, and simple dynamic modeling. The course will avoid matrix notations as much as possible. The course will be supported by class slides, empirical exercises and reading material (book chapters and journal articles).

Information

Panel data analysis is concerned with data that run over time for different unit of observations. That can be individuals, households, firms, regions, countries, etc. The repeated nature of the data enables the use of more realistic econometric models (for example, incorporating dynamics at the individual level), more robust estimation methods (e.g. controlling for unobserved heterogeneity) and more powerful testing procedures (e.g. testing for long-run purchasing power parity by pooling a number of countries). On the other hand, the panel nature of the data introduces some complications, including possible parameter heterogeneity, serial correlation or error component structures of the error terms, and cross-sectional dependence. These issues are particularly disturbing in nonlinear or dynamic models. The course will provide an insightful and useful elaboration of the state of the art in empirical panel data analysis at an introductory level. Starting from a general introduction, discussing advantages and disadvantages of panel data, static models with fixed effects or random effects, instrumental variables estimators, and robust inference, the course focuses on (micro-economic) dynamic models, where the time dimension is typically limited and the number of cross-sectional units is large. Topics covered include fixed effects and random effects models, instrumental variables, estimation by the Generalized Method of Moments (GMM), and models with limited dependent variables.

Assessment

PhD candidates and Research Master students receive 3 ECTS for active participation and assignments that will be given during the course. Participants will work with Stata on three different assignments (with data sets) during the afternoon sessions.

Materials

Notation and structure of the course will follow Chapter 10 of Verbeek (2017), A Guide to Modern Econometrics, 5th edition (or 4th edition 2012), John Wiley and Sons.

Additional info

For the timetable of this course, please click here.

----

To register, ERIM participants can take the following steps:

1. Go to SIN Online and log in with your ERNA credentials if required.

2. Click in the checkbox next to the course title and click Save Changes.

3. Your registration is complete. You will receive an automatic confirmation e-mail.

External (non-ERIM) participants are welcome to this course. To register, please fill in the registration form and e-mail it to summerschool@erim.eur.nl by 4 weeks prior to the start of the course. Please note that the number of places for this course is limited.

This course is free of charge for ERIM members (faculty members, PhD candidates and Research Master students). For external participants, the course fee is 250 euro per ECTS credit.