Cross Section and Pa­nel Eco­no­me­tri­cs

Course content

Topics in Cross Section Econometrics:

We consider various violations of common model assumptions (such as Gauss-Markov assumptions), including heteroskedasticity, auto/serial correlation, omitted variables, functional form misspecification, measurement error and simultaneity. We see how this can be tested for and what solutions exist (e.g. robust inference statistics, (F)GLS, IV/2SLS methods). We then consider crafting and estimation of a system of equations including simultaneous equations and seemingly unrelated regression by 2SLS/3SLS and GMM.

Topics in Panel Models:

We start with the main static linear panel models: Pooled OLS, FE,RE,FD. We then combine common static linear panel models with IV methods (FD-IV, FE-IV and RE- IV, Hausman-Taylor type models). We consider dynamic panel models (Anderson-Hsiao/ System 2SLS, Arrelano-Bond/ GMM) before we move to nonlinear panel models (binary dependent variable only). Here we extend ML estimation to cope with dependent observations (using Kullback-Leibler Information criterion) and consider methods to correct estimated standard errors and statistics. The final point will be to consider panel attrition/unbalanced panels, if time permits.

The econometric theory is illustrated with data examples throughout the course. Sample code for R and Stata is provided and students can choose whether they work with R or Stata.