Teaching

Panel Data Econometrics

at the University of Cape Town

July 7-11, 2008

Syllabus | Lectures | Problem sets | Additional material

Syllabus

Syllabus [.pdf] (This is a preliminary version. The final version will be available on July 7.)

Textbooks

• Arellano, M. (2003) Panel Data Econometrics, Oxford University Press. [ARLL] . Errata.
• Baltagi. B. (2001) Econometric Analysis of Panel Data, Wiley, Second edition. [BAL]
• Cameron, C. and P. Trivedi (2005) Microeconometrics, Cambridge University Press. [CAM]. Errata.
• Hsiao, C. (2003) Analysis of Panel Data, Cambridge University Press, Second edition. [HS]
• Wooldridge, J. (2002) Econometric Analysis of Cross Section and Panel Data, MIT Press.

Lectures (to be posted by July 7)

I. Static models [pdf]

1. Introduction to panel data
2. Unobserved heterogeneity.
3. Error components.
4. Specification tests.
5. Error in variables.

II. Incomplete panel data [pdf]

1. Rotating panels.
2. Pseudo panels.
3. Pooling data.
4. Quasi panels.

III. Dynamics and predetermined variables [pdf]

1. Strict exogeneity and predetermined variables.
2. Partial adjustment.
3. Estimation methods.
4. Multiple individual effects.

IV. Discrete choice [pdf]

1. Unobserved heterogeneity in non-linear models.
2. Conditional logit.
3. Random effects probit.
4. Dynamic discrete choice.
5. Fixed versus random effects.

Problem sets (to be posted by July 7)

Problem set 1 [pdf].

Problem set 2 [pdf].

Problem set 3 [pdf].

Problem set 4 [pdf].

Problem set 5 [pdf].

Additional material

TBA [pdf].