Course Notes on Panel Data Econometrics

This is a course note for the AGRODEP 2012 training course on "Panel Data Econometrics". The note covers the following items taught in the course:

1. Intro: Advantages of Panel (Longitudinal) Data
2. Preliminaries

• Some Common Estimators: OLS - IV - GLS - GMM - ML - [ME]
• Some Common Tests: Likelihood ratio test - Lagrange multiplier (score) test -  Wald test - Hausman Test - Sargan-Hansen J -Test
• Models, parameters of interest, and the incidental parameters problem

3. Linear Models

• Static: Uncorrelated individual effects - Correlated individual effects – Hausman test
• Dynamic: No exogenous regressors - Exogenous regressors - Serially correlated errors, detection and treatment
• Random Coefficient & Correlated Random Coefficient Models

4. Non-Linear Models 

• Static models: Random effects - Fixed effects - Bias reduction - [Orthogonal Parameters]
• Dynamic models: The initial conditions problem - Dynamic discrete choice and duration - Random Effects Tobit

5. Additional Issues

• Cross-sectional dependency and its treatment
• Variance estimation for general one- and two-way dependence; use of standard (cross-sectional) estimators with adjused standard errors
• Attrition - Sample selection
• Multilevel model

You can find more info about this training course on the AGRODEP event page and see photos taken during the course in the AGRODEP image gallery.