37534 - Panel Data Analysis

Learning outcomes

The lectures have the aim of providing an overview of microeconometric models, both static and dynamic, for panel data (data on individuals over many periods of time).At the end of the lectures students are expected to be able to:- critically evaluate theapplications on panel data presented in the empirical literature;- to apply quantitative methods and use one or more econometric softwares.

Course contents

1. Introduction to panel data; multilevel and longitudinal data.
2. The problem of heterogeneity and how to deal with it.
3. Static panel data models: two or more levels, error components, fixed and random effects; instrumental variables estimation and Hausman test. 
4. Mixed and hierarchical models. Introduction to dynamic panel.

The teaching material is available at the following link:
https://iol.unibo.it/course/view.php?id=40776

Readings/Bibliography

The material (notes and data-sets) will be distributed during the lectures.
Students are invited to have a look at (the order indicates an increasing level of difficulty):
Wooldridge  J.M. 2003 Introductory Econometrics. A Modern Approach, Thomson South-Western, Ch. 13-14;
Verbeek M. 2008 A guide to Modern Econometrics, Wiley, 3rd edition, Ch. 10.
A preliminary look at chapters 1, 2, 3 and 4 of the Verbeek textbook could be useful.

Teaching methods

Theoretical lectures and applied lectures. In the InfoLab the students will work on the econometric software under the supervision of the teacher.

Assessment methods

Attending students will discuss an empirical applicationwith the teacher.

Not attending strudents will have a written examination on theoretical and applied issues.

Teaching tools

Theoretical lectures will be followed by applied lectures; during applied lectures, held in the PC-lab, students are involved in empirical applications and will use the econometric software as well as data-sets. We will discuss together some special topics, including methods for estimating production functions, growth, investment models and corporate capital structure models. Active participation to the lectures is highly recommended.

Links to further information

https://sites.google.com/site/mariaelenabontempi/home/teaching/analisi-dei-dati-di-panel

Office hours

See the website of Maria Elena Bontempi