格林 面板数据讲义-1.pptVIP

Econometric Analysis of Panel Data Econometric Analysis of Panel Data Overview Panel Data Econometrics This is an intermediate level, Ph.D. course in the area of Applied Econometrics dealing with Panel Data. The range of topics covered in the course will span a large part of econometrics generally, though we are particularly interested in those techniques as they are adapted to the analysis of panel or longitudinal data sets. Topics to be studied include specification, estimation, and inference in the context of models that include individual (firm, person, etc.) effects. Why a Course on ‘Panel Data?’ Microeconometrics and applications – contemporary broad field in economics/econometrics Behavioral modeling Individual choice and response A platform for surveying econometric models and methods – most of the field Various types Recent developments Prerequisites Econometrics I or equivalent Ph.D. level introduction to econometrics Mathematical statistics Matrix algebra We will do some proofs and derivations. We will examine many empirical applications. You will apply the tools developed in the course. Text Readings Main text: Baltagi (2008); read chapters 1,2 Recommended: Greene (2008); read chapters 1,2,9 Suggested: Wooldridge (2002); read chapters 1,2,10 Very interesting: Cameron and Trivedi, Microeconometrics (Cambridge University Press, 2005.) Course Applications Problem sets Panel data sets: See the course website Software: NLOGIT Version 4.0 Other ‘packages’ SAS, Stata Programming environments: Gauss, Matlab, Mathematica, R ‘Lab’ work Problem sets Software Questions and review as requested Course Requirements Problem sets: 7 (20%) Due 1. Statistics and Regression Feb. 4 2. Fixed and Random Effects Feb. 18  3. Instrumental Variables, MDE, GMM March 4 4. Parameter Heterogeneity, RPM, HLM March 25  5. Nonlinear Models April 8 6. Nonlinear Models for Panel Data April 29 7. Simulation, Latent Class, Random Parameters May 7 (