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 :
- Reminders of Linear Static Econometrics
- Introduction to Panel Data
- Unobserved Heterogeneity
- Variance Components Models
- Dynamic Models
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.
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,
- Hsiao, C., Lahiri, K., Lee, L-F. And M.H. Pesaran (Eds.),
“Analysis of Panels and Limited Dependent Variable Models,”
Cambridge University Press, 1999.
Linear econometrics, optimization, matrix algebra, Probrability