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.
- 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.