ASSEE 2006 – Panel Data Econometrics – Advanced Summer School in Economics and Econometrics

ASSEE 2006 – Panel Data Econometrics

The topic of the 1^st Advanced Summer School was on “Panel Data Econometrics“.

Professor Manuel Arellano (CEMFI) was the Distinguished Guest Professor.

The lectures of the Summer School provided an up-to-date coverage of the main methods and models used in the econometric analysis of panel data, arranged into four main topics.

The emphasis was on dynamic linear panel data models. Empirical applications using household, firm, and aggregate panel data will be discussed.

Course Description

Outline

Static modelsGMM and likelihood approaches. Unobserved heterogeneity. Error components. Specification tests. Error in variables.Time series modelsCovariance structures with error components. Autoregressive models with individual effects. Identification and unit roots. Models with stationarity restrictions.Dynamic regression modelsStrict exogeneity and predetermined variables. Partial adjustment. Estimation methods. Multiple individual effects.Binary choiceUnobserved heterogeneity in non-linear models. Conditional logit. Random effects probit. Dynamic discrete choice. Bias-corrected fixed effects estimation.