Term 2

Module leader

Wiji Arulampalam (nee Narendranathan)

Aims

The last decade or so has seen a dramatic increase in the use of panel (longitudinal) data in the econometric analysis of economic behaviour along with a parallel growth in the development of estimation techniques applicable to these data. The aim of this module is to provide an understanding of these econometric techniques and their use in the empirical investigation of panel data models.

Learning outcomes

• An understanding of econometric issues involved in the analysis of panel data and will be able to conduct panel data analysis and interpret the results from these models;
• Written communication skills in form of written summaries of empirical work;
• Numeracy skills in the conduct of the statistical exercises;
• IT skills in use of specialist statistical packages;
• Critical insight to appraise econometric results obtained by other researchers using panel data;
• The habit of thought, knowledge and understanding to be able to carry out good quality applied econometric research using panel data with confidence and authority;
• A deeper and broader knowledge and understanding of material needed for empirical quantitative analysis using panel data.

Syllabus

Linear Static Models; Linear Dynamic Models; Non-linear Static and Dynamic Models including discrete choice and ordered response models; Issues of attrition and sample selection.

Organisation

2 lectures per week in term 2. Please see Teaching Timetable.

Pre-requisites

The pre-requisite for MSc Economics students is EC910 Econometrics B. The students will have to be registered to do Econometrics B (EC910) for credit in order to be able to do this module for credit.

Key readings

Main Texts:

Cameron, A., Colin and Pravin K. Trivedi (2005) Microeconometrics: Methods and applications, Cambridge Univeristy Press.

Wooldridge, Jeffrey, M. (2002) Econometric Analysis of Cross Section and Panel Data, MIT Press.

Supplementary Texts:

Arellano, Manuel (2003) Panel Data Econometrics, Oxford University Press.

Baltagi, Badi H., (2005) Econometric Analysis of Panel Data, 3rd Edn., Wiley.

Hsiao, Cheng (2003) Analysis of Panel Data, 2nd Edn., Cambridge University Press.

Verbeek, Marno (2004) A Guide to modern econometrics, 2nd edn., Wiley.

Assessment

Two x 1000-word assessments - Electronic Submission, comprising 10% each of the total mark and One x 2 hour written examination, comprising 80% of the total mark.