ASSEE 2006 – Panel Data Econometrics

The topic of the 1st 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
Static models
GMM and likelihood approaches. Unobserved heterogeneity. Error components. Specification tests. Error in variables.
Time series models
Covariance structures with error components. Autoregressive models with individual effects. Identification and unit roots. Models with stationarity restrictions.
Dynamic regression models
Strict exogeneity and predetermined variables. Partial adjustment. Estimation methods. Multiple individual effects.
Binary choice
Unobserved heterogeneity in non-linear models. Conditional logit. Random effects probit. Dynamic discrete choice. Bias-corrected fixed effects estimation.
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