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364-0554-00L  PhD Course in Dynamic Panel Data Econometrics

SemesterFrühjahrssemester 2016
DozierendeJ. Kiviet, J.‑E. Sturm
Periodizitätjährlich wiederkehrende Veranstaltung

KurzbeschreibungA five half-days applied and theoretical econometrics course, designed to enable students at the PhD-level to conduct empirical research in the field of microeconomics.
LernzielThis course focuses on techniques to analyse panel data sets containing only few time-series observations. The methods are illustrated and applied, both experimentally (in simulations) and empirically, in demonstrations which use the software packages EViews, Matlab and STATA.

The course emphasizes the interpretation, validation and actual finite sample (in)accuracy of dynamic econometric panel data methods when applied to contemporary topics in empirical economic research. Participants will be equipped with the econometric tools required to analyse dynamic relationships on the basis of panel data.
InhaltThe course consists of theory sessions, taught in a standard lecture format, including extensive illustrative computer demonstrations. Students will be provided with code and data which allows them during the afternoons (or at a later stage) to practice, provided they have arranged access (via their laptop) to the required software (preferably at least Stata).

1. Unobserved heterogeneity; static panel data models
2. Dynamic panel data models; method of moments estimation
3. Generalized method of moments; Arellano-Bond and Blundell-Bond estimation
4. Over-identification restrictions, instrument validity, instrument weakness
5. Tests for serial correlation and for the endogeneity/exogeneity status of regressors
6. Applications and practical performance
SkriptLecture notes and code will be made available during the first lecture.
Literatur(1) Hsiao, C. Analysis of Panel Data, 2003, Cambridge: Cambridge University Press, 2nd edition.
(2) Baltagi, B. The Econometric Analysis of Panel Data, 2008, New York: John Wiley, 4th edition.
(3) Wooldridge, J.M. Econometric Analysis of Cross Section and Panel Data, 2010, Cambridge: MIT Press. 2nd edition.
(4) Cameron, A.C. und Trivedi, P.K. Microeconometrics: Methods and Applications, 2005, Cambridge University Press, Chapters 21 and 22.
(5) Verbeek, M. A Guide to Modern Econometrics, (2012), Chichester: John Wiley. 4th edition. Chapter 10.
(6) Arellano, M. Panel Data Econometrics, 2003, Oxford: Oxford University Press.
(7) Kiviet, J.F., Pleus, M., Poldermans, R.W. Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models, mimeo 2015 (to be distributed at the course).
Voraussetzungen / BesonderesThe course is offered by a visiting lecturer.

It will be a five half-day block course (9.00-13.00) from 1-7 June 2016.