TrainingsDE 2ème/3ème cycleDESU Magistère Ingénieur EconomisteCoursesPanel data econometrics

DESU Magistère Ingénieur EconomisteUE Panel data econometrics

Content

The objective of this course is to present to the students an introduction to econometric methods enabling them to analyse data in which the observational units are followed over time.

Course overview :

  1. Reminders of Linear Static Econometrics
  2. Introduction to Panel Data
  3. Unobserved Heterogeneity
  4. Variance Components Models
  5. Dynamic Models

Professional skills

The course will developed theoretical statistical methods by supporting them with rigorous proofs. These technics will be illustrated by empirical applications from the literature.

The first searched skill is the understanding of the basic results of panel data econometrics, and of their hypotheses in terms of model specification.

Language used

Main language used by this course: Anglais et Français.

Bibliography

The content of the given classes will be enough for taking the exam. However, the following references may be useful to the students who wish to specialize in this field.

  • Arellano, Manuel. (2003). Panel data econometrics. Oxford ; New York : Oxford University Press.
  • Baltagi, B.H., “Econometric Analysis of Panel Data,” John Wiley & Sons, Chichester, 2005.
  • Hsiao, C. “Analysis of Panel Data,” Cambridge University Press, 1986.
  • Hsiao, C., Lahiri, K., Lee, L-F. And M.H. Pesaran (Eds.), “Analysis of Panels and Limited Dependent Variable Models,” Cambridge University Press, 1999.

Recommended prerequisites

Linear econometrics, optimization, matrix algebra, Probrability and Statistics.

Structure and organisation

Traditional lecture organization.

One final written test.

THE TRAININGS WHICH USE THIS COURSE