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Humboldt-Universität zu Berlin -

Analysis of Panel Data - Summer Term 2017


Further course information and material will be available at Moodle. The course key for subscription will be published in the first lecture.



Instructor: Prof. Dr. Bernd Droge



Lectures/Excercises:

Mon, 10:00-12:00, SPA 1, 23
Thu, 10:00-12:00, SPA 1, 203



Course Outline:

  1. Introduction
  2. The One-Way Error Component Regression Model
    2.1. Model and Notation
    2.2. The Fixed Effects Model
    2.3. The Random Effects Model
    2.4. Maximum Likelihood Estimation
  3. The Two-Way Error Component Regression Model
    3.1. Introduction
    3.2. The Fixed Effects Model
    3.3. The Random Effects Model
    3.4. Alternative Estimation Methods
  4. Testing Hypotheses
    4.1. Introduction
    4.2. Tests for Poolability of the Data
    4.3. Tests for Individual and Time Effects
    4.4. Hausman's Specification Test
  5. Heteroscedasticity and Serial Correlation
    5.1. Heteroscedasticity
    5.2. Serial Correlation
  6. Seemingly Unrelated Regressions with Error Components
  7. Simultaneous Equations with Error Components
    7.1. Single Equation Estimation
    7.2. System Estimation
    7.3. Endogenous Effects
  8. Dynamic Panel Data Models
    8.1. Introduction
    8.2. Fixed Effects Models
    8.3. Random Effects Models: Basic Problems
    8.4. Arellano & Bond Estimator
  9. Panel Data Models for Qualitative Dependent Variables
    9.1. Introduction
    9.2. Parameter Estimation

 

 

Main Literature:
Baltagi, B. H. (2005): ''Econometric Analysis of Panel Data'', 3rd ed., Wiley & Sons.

 

 

Additional Literature: 
Hsiao, C. (1986): ''Analysis of Panel Data'', Cambridge University Press.
Arellano, M. (2003): ''Panel Data Econometrics'', Oxford University Press.