Магистратура 2020/2021

Прикладная эконометрика панельных и пространственных данных

Статус: Курс по выбору (Прикладная экономика и математические методы)

Направление: 38.04.01. Экономика

Кто читает: Департамент экономики

Где читается: Санкт-Петербургская школа экономики и менеджмента

Когда читается: 2-й курс, 1 модуль

Формат изучения: без онлайн-курса

Преподаватели: Скоробогатов Александр Сергеевич

Прогр. обучения: Прикладная экономика и математические методы

Язык: английский

Кредиты: 5

Контактные часы: 44

Course Syllabus

Abstract

The course “Applied Paned Data and Spatial Econometrics” is aimed at students with background in statistics and econometrics. The course contains lectures (20 hours) and seminars (24 hours). Lectures cover all the topics, but some technical details are left for self-study of students with the use of the presentations and literature. Seminars involve solving applied tasks with the use of simulated and real data.

Learning Objectives

• deepen their knowledge of econometric analysis of panel data and spatial econometrics.

Expected Learning Outcomes

• Understand econometric theory underlying fixed effects and random effects models, first difference model, dynamic panel model, Taylor-Hausman model, panel data fixed effects and random effects models, first order spatial lag model and related models, panel data and binary choice spatial models, heteroscedasticity and serial correlation robust estimators.
• Be able to choose an estimator based on its statistical features, assumptions underlying related theory, and the nature of data at hand.

Course Contents

• Introduction to panel data econometrics
• Fixed effects and related models
• The use of fixed effects and related models
• Random effects model
• Heteroscedasticity and auto-correlation in panel data models
• Dynamic panel data regression
• Binary choice panel data models
• Introduction to spatial econometrics
• First order spatial lag model and related models
• Choice of specification using spatial models
• Spatial panel data regressions
• Spatial binary choice models

Assessment Elements

• class participation
• in-class computer test
• exam

Interim Assessment

• Interim assessment (1 module)
  0.2 * class participation + 0.5 * exam + 0.3 * in-class computer test

Bibliography

Recommended Core Bibliography

• Tsionas, M. (2019). Panel Data Econometrics : Theory (Vol. First edition). London: Academic Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1951497

Recommended Additional Bibliography

• Arellano, M. (DE-588)13168423X, (DE-627)512717885, (DE-576)298671840. (2003). Panel data econometrics Manuel Arellano. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.092725740