Accueil > Advanced Econometrics: Panel Series

OAEA 2120 - Advanced Econometrics: Panel Series

Type d'enseignement : Seminar

Semester : Spring 2017-2018

Number of hours : 24

Language of tuition : English

Voir les plans de cours et bibliographies

Pre-requisite

aucun

Course Description

The general objective of this course is to provide the students an understanding of econometric issues involved in the analysis of panel data. There are two main objectives:

1) Theoretical: introduce students to the main panel data econometric methods used in the analysis of issues related to economics and finance, in order to equip them with advanced knowledge required for performing empirical analyses.

2) Empirical: strengthen the capacities of students to use the STATA econometric software when dealing with empirical research.
Additional requested information: At the end of this course, the students should: 1) be able to conduct panel data analysis and interpret the results from these models; 2) get critical insight to appraise econometric results obtained by other researchers using panel data; 3) be able to carry out good quality applied econometric research using panel data

Teachers

SERRANITO, Francisco (Professeur des universités)

Pedagogical format

Please find below a proposed outline based upon 12 sessions, to be filled in. Should you prefer to use a non-standard outline, please feel free to use the « non-standard course outline » area at the bottom of this document. In both cases please indicate required and/or recommended readings:

Based on our prior experience with courses of this nature, we have not included dates to allow for maximum flexibility in covering the topics listed below. This course outline is preliminary and may be subject to revision.

1. Linear panel data methods: FE, RE and Random coefficient
2. Linear panel data with STATA
3. Dynamic panel data methods: theory
4. Applied dynamic panel data with STATA
5. Discrete choice models for panel data: theory and assessment

Course validation

Empirical project: students will have to draft a small empirical paper (70%) and make an oral presentation of their work (30%)

Required reading

  • 1. Hsiao, C., (2003), Analysis of Panel Data, Second edition, Cambridge University Press
  • 2. Wooldridge J.M., (2001), Econometric Analysis of Cross Section and Panel Data, The MIT Press
  • 3. Baltagi B.H. Econometric analysis of panel data, Fifth Edition, Wiley

Additional required reading

Supplementary readings L. Matyas & P. Sevestre, The econometrics of panel data: Fundamentals and recent developments in theory and practice, third Edition, Wiley

Plans de cours et bibliographies

SHORT BIOGRAPHY

I earned my Ph.D. in economics from the University of Orleans in January 2000, where I was a Teaching Assistant from September 1999 to January 2000. Then I was an economist at the OFCE, a research center of Sciences-Po, for one year. In September 2001; I got a position of Assistant Professor in applied economics at the University of Paris 13. After passing the French national exam for full professorship, I was first appointed Full Professor at the University of Orleans; and then at the University of Paris 13, Sorbonne Paris Cité. I am also the director of the Master Program “Ingénierie Financière et Modélisation”. Currently My research interests include applied econometrics (issues related growth and convergence, non-linear time series and unit root and panel data).