Description |
This course discusses recent developments in panel econometrics covering IV-methods in panels, limited dependent variable panel models. Special emphasis will be given to panel methods used for estimation of gravity models of bilateral trade.
There will be a series of lectures where we discuss the main material and applications. Furthermore, we will have be lab sessions, where applications in Stata will be discussed and important applied work published in refereed journals is replicated. The lab sessions include work on a own projects of the students.
Lecture 1: Review of linear one-way and two-way error component models (FE, RE)
Lectures 2 and 3: GMM, weak instruments and IV Estimation in panel models (IV-FE, IV-RE, HT)
Lectures 4 and 5: Maximum likelihood estimation, limited dependent variables and panel data I (Random effects probit, Fixed effects logit)
Lecture 6: Limited dependent variables and panel data II (Multinomial logit and simulated maximum likelihood)
Lecture 7: Limited dependent variables and panel data III (State dependence vs. heterogeneity)
Lecture 8: Limited dependent Variables and Panel data IV (Sample selection in panel models)
Lectures 9 and 10: Poisson and fractional response (cross-section and panel) models
Lectures 11 and 12: Stata programming, Maximum likelihood and GMM estimation in Stata, Discussion and Replication of relevant papers
12 lectures of 1.5 hours (UniS, Schanzeneckstrasse 1, University of Bern) and 5 units a 1.5 hours lab (A322 UniS, University of Bern, Schanzeneckstrasse 1, Bern).
The course takes place from Monday 29-08 until Friday 02-09. This is an intensive course. Please try to do (some) readings already before the course-week starts.
Monday August 29, 2016: 09.30 - 12 h / 13.30 - 16 h
class room A027 UniS
Tuesday August 30, 2016: 09.30 - 12 h / 13.30 - 16 h
class room A027 UniS
Wednesday August 31, 2016: 09.30 - 12 h / 13.30 - 16 h
class room A027 UniS
Thursday September 1, 2016: 09.30 - 12 h / 13.30 - 16 h
class room B-105 UniS
Friday September 2, 2016:
09.30 - 12 h, class room B-105 UniS
13.30 - 16 h, class room A301 UniS
Computer room A322 UniS is available, student's could bring their laptops if preferred.
Instructor:
Michael Pfaffermayr is Professor of International Economics in Innsbruck, Austria and consultant at the Austrian Institute of Economic Research. His research focuses on empirical international trade as well as applied econometrics, where he concentrates on panel econometric and spatial econometrics. Email: michael.pfaffermayr@uibk.ac.at.
Bibliography:
- Arellano, M. (2003). Panel Data Econometrics, Oxford University Press, Oxford.
- Baltagi, B. (2005). Econometric Analysis of Panel data, Wiley, New York, 3.edition.
- Cameron, A.C. and P.K. Trivedi (2005). Microeconometrics, Methods and Applications, Cambridge University Press, Cambridge.
- Hsiao, C. (2003). Analysis of Panel data, Cambridge University Press, Cambridge.
- Wooldridge, J. (2012). Econometric Analysis of Cross Section and Panel Data, Second Edition, MIT-Press, Cambridge MA.
- Further references will be provided in the lectures.
Participation: please register in KSL
The WTI will charge tuition fees to external students. No fees will be charged to students of the University of Bern and other students from a set of universities that needs to be determined (already included Universities of Lausanne, Geneva, and ETH). |