90388 - ADVANCED PANEL DATA METHODS

Conoscenze e abilità da conseguire

At the end of the course, students know the most appropriate estimating techniques for dynamic panel data models, both microeconomic (large and with more than one cross-sectional dimension) and macroeconomic (over a long time span). Specifically, they can: - critically understand theoretical and applied aspects of the vast literature based on dynamic panel data models; - apply dynamic panel data models techniques to their own analyses by programming specific routines using the STATA software.

Contenuti

Nowadays panel datasets, intended as both time-series cross-sectional data (CSTS) and multilevel data with observations at higher- and lower-levels, permeate the empirical research on many topics, going from classical economics towards behavioral and political economy. The aim of the course is to provide an overview, both methodological and applied, of econometric models for panel data, where observations are available at least at two dimensions. During the course, to ease the comprehension and to introduce important topics, N will indicate individuals (cross-sections) and T will denote temporal periods (time-series). The first part of the course relates to micro panel data (where N is larger than T). After reviewing the classical fixed and random effects models with emphasis to their pros and cons, we will discuss about endogeneity of explanatory variables, intended both as correlation with individual heterogeneity (the heterogeneity bias) and as correlation with idiosyncratic shocks (due to simultaneity, measurement errors, and dynamics). The instrumental variables estimator, such as the Generalized Method of Moments (GMM), is at the core of this part. The second part of the course relates to macro panel data (where T is larger than N). The main issues will be non-stationarity and cointegration, analyzed and discussed in the light of parameters’ heterogeneity and common correlated effects.

Testi/Bibliografia

The material (articles, notes, programs, and data-sets) will be distributed during the lectures and make available on the Virtuale platform.

Students are invited to have a look at:
Wooldridge J.M. 2020 Introductory Econometrics. A Modern Approach, 7th Edition, Cengage;
Verbeek M. 2017 A guide to Modern Econometrics, Wiley, 5th Edition;
Wooldridge J. M. 2010 Econometric Analysis of Cross-Section and Panel Data, 2nd ed, Cambridge Mass.: MIT Press.

Metodi didattici

At each step of the course, the methodologies will be accompanied by hands-on empirical applications with an econometric software (Stata available using the CAMPUS license and students' university credentials). At the end of the course, participants will be able to critically evaluate the empirical literature based on panel data, and to model and estimate their own issue of interest, according to the problems at hand: static versus dynamic approaches, heterogeneity and clustering, exogeneity versus endogeneity of covariates, GMM, unit roots and long/short run relationships.

Modalità di verifica e valutazione dell'apprendimento

Attending students will present and discuss empirical applications with the teacher and the class. Each student will receive a research question, the data and the reference papers selected by the teacher; she/he has to prepare an empirical research report on the assigned topic.

Not attending students will have a written examination on theoretical and applied issues, with open ended questions aimed at assessing their capacity in understanding models' specifications and estimated results, and in evaluating the strengths and weaknesses of alternative estimating methods.

According to the pandemic situation, the exams could be either in presence or online, but this will not alter the assessment methods.

In each case, students have to register in Almaesami so as to receive the link to the virtual class in Zoom. Not attending students will have to access to EOL (Exams Online) by using their institutional credentials.

The possible grades are:
< 18 failed
18-23 sufficient    
24-27 good          
28-30 very good   
30L (cum laude) excellent

Strumenti a supporto della didattica

Theoretical lectures are associated with working sessions; during them students will receive the suggestions needed to run their own empirical analysis. The data-sets and the programming files to perfom applied analyses will be provided during the lectures. The distributed material (articles, notes, programs, and data-sets) will be make available on the Virtuale platform.

STATA software HERE

Link ad altre eventuali informazioni

https://sites.google.com/site/mariaelenabontempi/home/teaching/Advanced_Panel_Data_Methods

Orario di ricevimento

Consulta il sito web di Maria Elena Bontempi