Training Course

Panel data methods

Date:
- | 09:15 - 18:00
Tutor: Jeffrey M. Wooldridge MSU
Location: UCL Economics Department - Drayton House, 30 Gordon Street, London WC1H OAX
Price:
HE price : £240
Charity/Government: £440
Full price : £950
All prices are exclusive of VAT

This course is now fully booked. To join the waiting list, please email cemmapevent@ifs.org.uk with "Waiting List Request - PDM 15th & 16th May 2017" in the subject line.

This course in panel data econometrics, presented from a microeconometrics perspective, will cover linear panel data models with unobserved heterogeneity, including discussions of the strengths and weaknesses of the various estimation methods.

Basic estimation methods include random effects, fixed effects, and first differencing. Instrumental variables estimation of models without strictly exogenous explanatory variables will also be covered, including those that contain contemporaneously endogenous variables and those that contain lagged dependent variables. Estimation of linear models with heterogeneous trends and heterogeneous slopes will also be covered. Special considerations with unbalanced panels will be discussed, including how to test for sample selection and attrition bias.

The statistical package Stata will be used to illustrate the methods during lectures and in obtaining hands-on experience during the practical work. Please note that this training course will be given in a microeconometrics laboratory where computers will be provided with the neccessary programmes.

Participants should have good working knowledge of ordinary least squares and two stage least squares in a cross-sectional environment, at the level of the “Introductory Microeconometrics” training course.

The course will be presented at a level below my book Econometric Analysis of Cross Section and Panel Data, second edition. MIT Press, 2010. Some of the material can be found in the Imbens/Wooldridge cemmap lecture notes here:

http://www.cemmap.ac.uk/uploads/cemmap/forms/Imbens_Wooldridge_notes.pdf

Background reading suggested for this training course: please click here