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“Econometrics of Panel Data - 
Th. 30h/Ex. 30h.”


 
A. THEORY
1. Introduction * examples of panel data sets
* benefits and limitations of panel data
2. One way Error Component Model * pooled model
* LSDV model
* between model
* fixed effects model
* within model
* random model
3. Test of hypotheses * poolability of data
* individual effects
* Hausman test
4. Heteroskedasticity and serial correlation * heteroskedasticity
* serial correlation
5. Dynamic Panel Data Model * F.D. GMM model
* system GMM model
* Sargan test of over-identifying restrictions
6. Limited Dependent Variables Models * negative binomial model
* QGPML model
* CML model
* GMM model
7. Nonstationary Panels * panel unit root tests
* panel cointegration tests
8. Other topics * unbalanced panel data
* measurement errors
* selection bias
* rotating panel
* attrition
* spatial panel
* simultaneous equations
9. Guest speakers:

* Michele Beine: Economic integration and regional industrial specialization patterns: New evidence from the Canadian-US FTA experience
* Amynah Gangji: Does unobserved heterogeneity matter?

B. ECONOMETRIC SOFTWARES
TSP45 - STATA (Intercooled Stata 7.0 for Windows NT/98/95)– GAUSS (for Windows NT/95  Version 3.2.35)
C. READING LIST
C.1. Books
Baltagi, Badi H., Econometric Analysis of Panel Data, John Wiley & Sons, 2nd edition, October 2001, 293p.
Wooldridge, Jeffrey M., Econometric Analysis of Cross Section and Panel Data, MIT Press, 1st edition, October 2001, 740p.
Hsiao, Cheng, Analysis of Panel Data, Cambridge University Press, 2nd edition, December, 2002, 368p.
C.2. Articles
Cincera M., 1997, “Patents, R&D and Technological Spillovers at the Firm Level: Some Evidence from Econometric Count Models for Panel Data”, Journal of Applied Econometrics, 12, p.265-280.
Cincera M., 2002, “Financing constraints, capital and R&D investment decisions of Belgian firms”, National Bank of Belgium Working Paper, N°32.
D. PRESENTATIONS AND AMENDMENTS
date of presentation: to be announced!
Name
Topic
Database
RAVET Julien Measurement errors
PLAIGIN Charles Spatial panels
THIBAUT Christophe Attrition  
VAN DEN BROECK Marie  Sample selection
FLAMAND Sabine Rotating panel