2024/2025

Панельные данные

Статус: Маго-лего

Кто читает: Департамент экономики

Когда читается: 3 модуль

Охват аудитории: для своего кампуса

Преподаватели: Кислицын Дмитрий Викторович

Язык: русский

Программа дисциплины

Аннотация

The course is of applied nature: The material is presented, whenever possible, in a non-technical way, with examples of empirical studies published in leading international economics and finance journals discussed in class. Lectures are supplemented by computer labs, which ensures that the students get hands-on experience of analyzing real world panel data using Stata 14/15. The topics covered include: pooled OLS model, fixed- and random-effects models, dealing with unbalanced panels, measurement error in panel data, endogenous explanatory variables, the Hausman-Taylor model, and an overview of dynamic panel data models (the Nickel bias, Anderson-Hsiao estimator and Arellano-Bond estimator).

Цель освоения дисциплины

• familiarize the students with contemporary methods of panel data analysis, starting with the pooled OLS model and ending with dynamic panel data models

Планируемые результаты обучения

• Students should be able to effectively apply these methods in own empirical research.
• Students should be familiar with and be able to use key capabilities of the statistical package “Stata”, including its programming options (the so-called do-files).
• Students should have a firm grasp of the key methods of panel data analysis

Содержание учебной дисциплины

• Panel data and pooled OLS model
• The fixed effects model
• The random-effects model
• Further topics in the analysis of linear panel data models
• Dynamic panel data

Элементы контроля

• Project Work
• In-class Participation
• Exam

Промежуточная аттестация

• 2024/2025 3rd module
  0.5 * Exam + 0.25 * In-class Participation + 0.25 * Project Work

Список литературы

Рекомендуемая основная литература

• Patrick Sevestre, & Laszlo Matyas. (2008). The Econometrics of Panel Data. Post-Print. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.hal.journl.halshs.00279977

Рекомендуемая дополнительная литература

• David Roodman. (2006). How to Do xtabond2: An Introduction to ‘Difference’ and ‘System. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.BDA319DD
• Mátyás, L. (2017). The Econometrics of Multi-dimensional Panels : Theory and Applications. [N.p.]: Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1565303

Авторы

• Полякова Евгения Юрьевна
• Бродская Наталья Николаевна
• Муравьев Александр Александрович