Econometrics of Panel Data 222991-D
Laboratorium (LAB) Semestr letni 2020/21

Panel data - basic definitions, characteristics, etc.

Linear static model - common types. One-way error component model. Fixed and random effects approaches.

Fixed effects estimation. Random effects models.

Hausman test. The between estimator.

Two-way error component models.

Heteroskedasticity, serial correlation and cross-sectional dependence in static models. GLS estimation.

Endogeneity. Instrumental variables (IV) regression. The Hausman-Taylor estimator.

Dynamic panel data models. The FD (first differences) estimator. The Nickell's bias. The Anderson-Hsiao estimator.

Estimation of dynamic models. Generalized Method of Moments (GMM). The Arellano-Bond estimator and a system estimator.

Heterogeneous panels. Seemingly unrelated regression. Swamy's random coefficient model. The Mean Group estimator. The Common Correlated Effects Mean Group estimator.

Panel unit root tests. Panel cointegration tests.

Nonstationary panels. Panel VAR.

Limited dependent variable. The FE logit. The RE binary outcome models.

The FE and RE Poisson models. The RE tobit model.

Estimating average treatment effects (ATE). Difference-in-differences (DID).