Panel Data Analysis
The aim of this course is to present the background necessary to understand and assess the applications of panel data analysis and to provide skills which could be applied to analyse a variety of research and policy problems related to Business. Both static and dynamic models for panel data analysis are presented, with special attention to choosing the most suitable estimator for each model. In particular, the course covers the different structures of data and the advantages and limitations of panel data. Moreover, several cases on how to derive economic models combining panel data and Stataâ are discussed.
Linear Static Models for Panel Data and Nonlinear Panel Data Models
Slides: class0, class1, class2, class3, class4, class5, class6, class7, class8
Data Sets: Crime2, Kielmc, CR, Fatality, class6 and HMDA data
Do_files: class1, class2, class3, class4, class5, class6, class7, class8
(obs: First save the .do and .dta files and then open in Stata. In .do files correct the path directory where you have downloaded the data)
Date to be Presented and Papers
22/01 Kiel&McClain, CR88
29/01 H&M, MarriagePremium
01/02 Happiness&Age, AERHyp
05/02 CS2014, CY2016 (Bennedsen, M., K. Nielsen, F. Pérez-González, and D. Wolfenzon, 2007, “Inside the Family Firm: The Role of Families in Succession Decisions and Performance,” Quarterly Journal of Economics 122, 647- 691.)
12/02 Giuliano, Finnish
26/02 DepressionBabies, SavingsBehaviour
12/03 Five Facts, Race Discrimation
19/3 Climate Change, CT94
Homework3, productivity, timeinvar, timevar,
Additional Reading: GreenePanelData, Stata_PanelData, xtdpd, Time_Series
ˇ Problem set assignments and Readings: 30%
ˇ Mid term evaluation: 30%
ˇ Research Paper presentation: 40%
ˇ Arellano, M. (2003), Panel Data Econometrics (Advanced Texts in Econometrics), Oxford University Press.
ˇ Bond, S.R. (2002): “Dynamic Panel Data Models: A Guide to Micro Data Methods and Practice”. Cemmap Working Paper Series No. CWP09/02, Institute for Fiscal Studies, London.
ˇ Greene, W. (2000): Econometric Analysis (5th Edition), Prentice Hall
ˇ Roodman, D. (2006): “How to Do xtabond2: An Introduction to “Difference” and “System” GMM in Stata”. Working Paper 13, Centre for Global Development.
ˇ Wooldridge, J. M. (2001), Econometric Analysis of Cross Section and Panel Data, MIT Press.
ˇ Cameron and Trivendi (2010), Microeconometrics Using Stata. STATA Press.