EERC Methodological Seminars Series

 

ECONOMETRIC SEQUENCE

Panel Data Analysis

 

Instructor: Stanislav Anatolyev, New Economic School, Moscow

 

 

This seminar is the third part of the econometric sequence. The seminar focused on panel data techniques, a methodology that makes an analysis of a large number of objects through short periods in time. It can be particularly relevant for studying dynamic changes in household behavior, enterprise productivity, investment, regional growth, etc. Studying these methods requires good knowledge of linear and matrix algebra. Beside a chapter in Greene's book, several applied papers will be assigned as readings.

 

 

ORGANIZATION

 

Along with lectures, there will be separate computer sessions. The statistical working tool is Econometric Views. The students are encouraged to work in groups. The instructor will be available during office hours.

 

LITERATURE

 

Greene, William (2000) Econometric Analysis, 4th edition, chapter 14

Balestra, Pietro (1996) Fixed Effects Models and Fixed Coefficients Models. Chapter 3 in: The Econometrics of Panel Data, edited by L. Matyas and P. Sevestre, Kluwer Academic Publishers.

Matyas, Laszlo (1996) Error Components Models. Chapter 4 in: The Econometrics of Panel Data, edited by L. Matyas and P. Sevestre, Kluwer Academic Publishers.

Owusu-Gyapong, Anthony (1986) Alternative Estimating Techniques for Panel Data on Strike Activity. Review of Economics and Statistics 68, 526-531.

Lichtenberg, Frank (1988) Estimation of the Internal Adjustment Costs Model Using Longitudinal Establishment Data. Review of Economics and Statistics 70, 421-430.

Sevestre, Patrick and Alain Trognon (1996) Dynamic Linear Models. Chapter 7 in: The Econometrics of Panel Data, edited by L. Matyas and P. Sevestre, Kluwer Academic Publishers.

Holtz-Eakin, Douglas, Whitney Newey, and Harvey Rosen (1989) The Revenues–Expenditures Nexus: Evidence from Local Government Data. International Economic Review 30, 415–430.

Hsiao, Cheng (1996) Logit and Probit Models. Chapter 16 in: The Econometrics of Panel Data, edited by L. Matyas and P. Sevestre, Kluwer Academic Publishers.

 

 

SYLLABUS

 

I. Introduction to Panel Data

        Classical linear regression: review

        Structure of panel data: cross-sectional dimension and time-series dimension

        Balanced and unbalanced panels, panels and pseudo-panels

        Error component models: one-way and two-way

        Fixed or random effects?

II. One-way Error Component Panel Regression

        The fixed effects model: Least Squares Dummy Variables (LSDV) estimation

        Testing for fixed effects

        The random effects model: Generalized Least Squares (GLS) estimation

        The Between and Within estimators

III. Two-way Error Component Panel Regression

        The fixed effects model: Least Squares Dummy Variables (LSDV) estimation

        Testing for fixed effects

        The random effects model: Generalized Least Squares (GLS) estimation

IV. Testing Hypotheses with Panel Data

        Tests for poolability

        Tests for individual and time effects

        The Hausman specification test

V. Dynamic Panel Regression

        Serial correlation in error component models

        Dynamic fixed effects model: bias of LSDV estimator

        Dynamic random effects model: instrumental variables estimation

VI. Vector Autoregressions and Panel Data

        Vector Autoregressions: review

        Panel stationary VAR with individual effects

        Panel stationary VAR with individual effects and shocks to a common factor

        Panel nonstationary VAR with individual effects

VII. Binary Dependent Variable and Panel Data

        Binary dependent variable models: review

        Fixed effects logit: conditional maximum likelihood estimation

        Fixed effects logit: semiparametric estimation

        Random effects probit