Aims

The aim of this module is to provide an understanding of panel data econometric techniques and their use in the empirical investigation of economic models.

Module contents (Lecture Material)

• Alternative estimators for static linear models.
• Dynamic linear models: IV, GMM, etc.
• Static binary dependent variable models;
• Dynamic binary dependent variable models.

Module lecturer

Wiji Arulampalam (wiji.arulampalam@warwick.ac.uk)

Organisation

The module will be taught in two 2-hour lectures per week: Monday 2-4pm (weeks 20-24: Teaching weeks 2-10 in Term 2) in room R3.41.

Assessment is by one 2-hour exam (80%) and TWO empirical exercise (2 @ 10%).

Approach

• Mainly practical (plus some theoretical background).

• Focus is on: large N, small T.

• Illustrations of the techniques using published empirical work.

• Empirical examples (Stata based).

Pre-requisites

The module will assume some familiarity with the Econoemtrics B - ec910.

Main Texts

· Cameron and Trivedi - Microeconometrics: Methods and Applications (CUP, 2005), Chapters 21—23.

· Wooldridge - Econometric Analysis of Cross Section and Panel Data (MIT Press, 2010), 2nd edition.

Both these texts are available as e-books, which can be linked to from the Library Catalogue.

Supplementary Texts

Arellano - Panel Data Econometrics (OUP, 2003)

Baltagi - Econometric Analysis of Panel Data (3rd Edition, Wiley, 2005)

Hsiao - Analysis of Panel Data (2nd Edition, CUP, 2003)

Copies of handouts, examples, datasets, etc. will be available from here.