364-0554-00L PhD Course in Dynamic Panel Data Econometrics
Semester | Frühjahrssemester 2016 |
Dozierende | J. Kiviet, J.‑E. Sturm |
Periodizität | jährlich wiederkehrende Veranstaltung |
Lehrsprache | Englisch |
Lehrveranstaltungen
Nummer | Titel | Umfang | Dozierende | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
364-0554-00 G | PhD Course in Dynamic Panel Data Econometrics Blockkurs | 20s Std. |
| J. Kiviet, J.‑E. Sturm |
Katalogdaten
Kurzbeschreibung | A 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. |
Lernziel | This 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. |
Inhalt | The 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 |
Skript | Lecture 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 / Besonderes | The 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. |
Leistungskontrolle
Information zur Leistungskontrolle (gültig bis die Lerneinheit neu gelesen wird) | |
Leistungskontrolle als Semesterkurs | |
ECTS Kreditpunkte | 3 KP |
Prüfende | J.-E. Sturm, J. Kiviet |
Form | unbenotete Semesterleistung |
Prüfungssprache | Englisch |
Repetition | Repetition nur nach erneuter Belegung der Lerneinheit möglich. |
Lernmaterialien
Keine öffentlichen Lernmaterialien verfügbar. | |
Es werden nur die öffentlichen Lernmaterialien aufgeführt. |
Gruppen
Keine Informationen zu Gruppen vorhanden. |
Einschränkungen
Keine zusätzlichen Belegungseinschränkungen vorhanden. |
Angeboten in
Studiengang | Bereich | Typ | |
---|---|---|---|
Doktorat Departement Management, Technologie und Ökonomie | Lehrangebot Doktorat und Postdoktorat | W |