Магистратура
2021/2022
Прикладная эконометрика панельных и пространственных данных
Лучший по критерию «Полезность курса для Вашей будущей карьеры»
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
Охват аудитории:
для своего кампуса
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 who would like to deepen their knowledge of econometric analysis of panel data and spatial econometrics.
Learning Objectives
- deepen their knowledge of econometric analysis of panel data and spatial econometrics
- deepen their knowledge of econometric analysis of panel data and spatial econometrics.
Expected Learning Outcomes
- Be able to choose an estimator based on its statistical features, assumptions underlying related theory, and the nature of data at hand.
- 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.
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
- in-class computer test
- class participation
- written final exam
- in-class computer test
- class participation
- written final exam
Interim Assessment
- 2021/2022 1st module0.3 * in-class computer test + 0.2 * class participation + 0.5 * written final exam
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
- Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, Mass: MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=78079
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
- Econometric analysis of panel data, Baltagi, B.H., 2008
- Verbeek, M. (2004). A Guide to Modern Econometrics (Vol. 2nd ed). Southern Gate, Chichester, West Sussex, England: John Wiley and Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=108185
- Wooldridge, J. M. . (DE-588)131680463, (DE-627)512715513, (DE-576)298669293, aut. (2013). Introductory econometrics a modern approach Jeffrey M. Wooldridge.