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Advanced Econometrics

Part 1: Econometrics of panel data


The section titles link to the supporting material of the lecture. In the reference list, stars denote suggested readings. For any question or query regarding the course : 



           I.    Econometrics of Panel Data

1.  Panel data with linear fixed effects

2.  The Random Effects (RE) specification

3.  Extension: Multiple equations models

         II.    The Generalized Method of Moments

1.  GMM estimation

        III.    Maximum Likelihood estimations

1.  ML estimation

        IV.    Estimation of models for limited and qualitative data

1.  Estimation of models for limited and qualitative data



Ashenfelter, O. and A. Krueger (1994): “Estimates of the Economic Return to Schooling from a New Sample of Twins,” American Economic Review, 84(5), 1157-1173. (Download here)

Bond, S. (2002): “Dynamic Panel Data Models: a Guide to Micro Data Methods and Practice,” Portuguese Economic Journal, 1(2), 141-162. (Download here)

Gourieroux, C. and A. Monfort (1996): Statistique et modŹles économétriques.  Economica, Paris

Heckman, J. J. (1979) : “Sample Selection Bias as a Specification Error,” Econometrica, 47(1), 153-162. (Download here)

McFadden, D. (1974): “Conditional Logit Analysis of Qualitative Choice Behavior,” in  Frontiers in Econometrics,  ed. by P. Zarembka, pp. 105-142. New York Academic Press, New York. (Download here)

Olsen, R. J. (1978): “Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model,” Econometrica,  46(5), 1211-1215

Train, K.E. (2003): Discrete Choice Methods with Simulation. Cambridge University Press, Cambridge (UK).