Studies

Panel Data Econometrics

Professor

 

Manuel Arellano (CEMFI)

Dates

 

12 - 15 September 2017

Hours

 

Tuesday to Thursday from 9:30 to 13:00 and from 15:30 to 16:30
Friday from 9:30 to 13:00

Intended for

 

Empirical researchers with an interest in panel data analysis.

Prerequisites

 

Advanced econometrics for undergraduates. The required prerequisite knowledge of econometrics is at the level of W. H. Greene’s textbook Econometric Analysis, 6th edition, 2008, Prentice-Hall; or J. M. Wooldridge’s textbook Introductory Econometrics: A Modern Approach, 2002, South-Western. In particular, participants are expected to be familiar with such concepts as linear regression, two-stage least squares, and autoregressive models.

Overview

 

The purpose of this course is to provide an up-to-date coverage of the main methods and models used in the econometric analysis of panel data, with particular focus on panels where the cross-sectional dimension is large and the time-series dimension is short. The course will cover applications to firm-level panel data models, empirical growth models, household income dynamics, and the implementation of panel GMM estimators using Stata.

Topics

 

Static Models. Unobserved heterogeneity. Within-group estimation. Error components. Clustering. Error in variables
Dynamic Models. Predetermined variables. Autoregressive models with individual effects. Initial condition restrictions. Covariance structures
Applications. Firm-level money demand. Employment and wage VARs. Empirical growth models
Random coefficients. Models with multivariate heterogeneity. Mean and variance of heterogeneous effects
Quantiles and panels. Quantile regression with random effects. Application to household income dynamics

     
 

Manuel Arellano has been a Professor of Economics at CEMFI since 1991. Prior to that, he held appointments at the University of Oxford and the London School of Economics. He is a graduate from the University of Barcelona and holds a Ph.D. from the London School of Economics. He has served as Editor of the Review of Economic Studies, Co-Editor of the Journal of Applied Econometrics, and Co-Chair of the World Congress of the Econometric Society. He is a Fellow of the Econometric Society and a Foreign Honorary Member of the American Academy of Arts and Sciences. He has been President of the Spanish Economic Association (2003),President of the European Economic Association (2013), and President of the Econometric Society (2014). He has published many research papers on topics in econometrics and labour economics, in particular on the analysis of panel data, being named a Highly Cited Researcher by Thomson ISI (2010). He is the author of Panel Data Econometrics (Oxford University Press 2003). He has received the Rey Jaime I Prize in Economics (2012).

Note: This course was originally announced as taught by Steve Bond (Oxford University).

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