Fundamentals of Panel Data Models and Recent Developments
Professor: Dr. Junsoo Lee,
University of Alabama, USA
Some Reference Books
1. Wooldridge, J., Econometric Analysis of Cross-Section and Panel Data, 2nd edition, The MIT Press, 2010. (excellent; looks easy but much more intensive than Greene for advanced topics)
2. Sul, Donggyu, Panel Data Econometrics, 1st edition, 2019. (new book focused on panel data models with cross-correlations; excellent)
3. Colin Cameron and Pravin Trivedi (CT), Microeconometrics, Cambridge publishing Co., 2005. (very good, useful and comparable to Wooldridge)
4. Greene, W., Econometric Analysis, 8th edition, Prentice Hall, 2017. (excellent for the first course in econometrics; used to be very popular even for advanced topics along with the LIMDEP software; dry and dull for advanced topics)
Objective & Description
The objective of this workshop is to help participants understand several important FUNDAMENTALS AND RECENT DEVELOPMENTS in panel data models and how they can be used in empirical research and practical applications. Emphasis will be
2 placed on appreciating its scope, understanding the essentials underlying the various methods, and developing the ability to relate the methods to important issues faced by a researcher.
At the end of this course, students will be able to use computer-based statistical packages to analyze data, will understand how to interpret the output and will be confident to ‘drive’ the analysis process. Emphasis is on being able to use the methods effectively, and on understanding the methods, their appropriateness, and their limitations.
Software A few different software packages including STATA and Gauss can be used, depending on the examples and available codes.
Outline of Topics
Session 0. Warm-up with Regression Analysis Using STATA
o Guides to STATA o Regression using STATA o Saving estimation results in tables in Word or Tex.
Session 1. Linear Panel data models o Limitations of cross-sectional data o Pooling Data Models vs. Panel Data Models o FE, RE, FD, and BE panel data estimations o Hausman tests o Mundlak and Chamberlain Estimators o Endogeneity in panel data models, IV and 2SLS o Applications and Examples
Session 2. Dynamic Panel data models using GMM o Dynamic panel models and Bias of FE, RE and FD estimators o GMM estimation o System GMM estimation o Panel VAR models o Applications and Examples
Session 3. Non-linear Panel data models & Population-averaged Panel models o Review on Choice Models: Probit, Logit Models, and Advantages of LPM
3 o Incidental parameters problems o Conditional Logit and Poisson FE models Why there are no FE estimators for other models? o Butler-Moffit Method and RE Estimators Why there are no Hausman tests for choosing between FE and RE estimators? o Population-averaged Panel models and GEE estimation o Mundlak and Chamberlain Estimation in nonlinear panel models o Endogeneity in nonlinear panel models o Applications and Examples
Session 4. Panel Data Models with Cross-correlations and a Factor Structure o Cross-correlations effects and tests on CCE o Panel data models with cross-correlations Pesaran Procedures o Principal components models and Iterative procedures Bai Procedures o Applications and Examples
Session 5. Testing for Unit roots in panel models with cross-correlations and breaks (Recent issues) o Panel data models when T is big o Panel unit root tests with breaks and nonlinearity o Panel unit root tests with cross-correlations o Testing for unit roots in panel models with cross-correlations and breaks/nonlinearity o Applications and Examples