Analysis of Panel Data - Summer Term 2017
Further course information and material will be available at Moodle. The course key for subscription will be published in the first lecture.
Instructor: Prof. Dr. Bernd Droge
Lectures/Excercises:
Mon, 10:00-12:00, SPA 1, 23
Thu, 10:00-12:00, SPA 1, 203
Course Outline:
- Introduction
-
The One-Way Error Component Regression Model
2.1. Model and Notation
2.2. The Fixed Effects Model
2.3. The Random Effects Model
2.4. Maximum Likelihood Estimation -
The Two-Way Error Component Regression Model
3.1. Introduction
3.2. The Fixed Effects Model
3.3. The Random Effects Model
3.4. Alternative Estimation Methods -
Testing Hypotheses
4.1. Introduction
4.2. Tests for Poolability of the Data
4.3. Tests for Individual and Time Effects
4.4. Hausman's Specification Test -
Heteroscedasticity and Serial Correlation
5.1. Heteroscedasticity
5.2. Serial Correlation - Seemingly Unrelated Regressions with Error Components
-
Simultaneous Equations with Error Components
7.1. Single Equation Estimation
7.2. System Estimation
7.3. Endogenous Effects -
Dynamic Panel Data Models
8.1. Introduction
8.2. Fixed Effects Models
8.3. Random Effects Models: Basic Problems
8.4. Arellano & Bond Estimator -
Panel Data Models for Qualitative Dependent Variables
9.1. Introduction
9.2. Parameter Estimation
Main Literature:
Baltagi, B. H. (2005): ''Econometric Analysis of Panel Data'', 3rd ed., Wiley & Sons.
Additional Literature:
Hsiao, C. (1986): ''Analysis of Panel Data'', Cambridge University Press.
Arellano, M. (2003): ''Panel Data Econometrics'', Oxford University Press.