Panel Data Econometrics

Econ 915 Prof. Iwata Office hour: Tu & Th: 11:00 – 12:00 e-mail: [email protected]; phone: 785-864-2867 Homepage: http://raven.cc.ku.edu/~intecon/

Panel Data Econometrics Goal: The objective of the course is to review some of the main topics of panel data econometrics, which is increasingly important in many applied econometric studies. A broad range of applications are discussed and computation is emphasized. Texts: • •

Hsiao, C. (2003) Analysis of Panel Data (second ed.) Cambridge U. Press Arellano, M. (2003) Panel Data Econometrics, Oxford U. Press

Other useful References: • • • •

Baltagi, B. H. (2001) Econometric Analysis of Panel Data (second ed.) John Wiley & Sons Wooldridge, J.M., (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press. Chamberlain, G. (1984) “Panel Data” in: Grilliches and Intriligator ed. Handbook of Econometrics Vol. II, Chapter 22, pp. 1247-1318. Arellano and Honore (2001) “Panel Data Models: Some Recent Developments” in Handbook of Econometrics, Chapter 53.

Prerequisite: Econ 817 Course Requirement: • • •

Data analysis (‘RA Competition’) A paper (‘a mock proposal’) Presentation.

Course Outline: 1. Basic Review of Panel Data Methods: Estimation and Test of Hypotheses • • •

Hsiao, Chapters 2-3 Arellano, Chapters 2, 3 Baltagi, Chapters 1-5

2. Dynamic Panel Data Models

• • •

Hsiao, Chapter 4 Arellano, Chapters 5-8 Baltagi, Chapter 8

3. Variable Coefficient Models •

Hsiao Chapter 6

4. Limited Dependent Variables, Selection Bias • •

Hsiao, Chapters 7-8 Baltagi, Chapter 11

5. Unbalanced Panel Data • •

Hsaio, Chapter 9 Baltagi, Chapter 9

6. Non Stationary Panels •

Baltagi, Chapter 12

Readings: 1. Error Component Model: Some Examples • • • •

Baltagi, B. H., and J. M. Griffin (1983) “Gasoline Demand in the OECD” European Economic Review 22, 117-137. Cardellichio, P. A. (1990) “Estimation of Production Behavior Using Pooled Microdata” Review of Economics and Statistics 72, 11-18. Owusu-Gyapong, A. (1986) “Alternative Estimating Techniques for Panel Data on Strike Activity” Review of Economics and Statistics 68, 526-531. Attanasio, O.P., L. Picci, and A. Scorcu, (2000), “Saving, Growth, and Investment: A Macroeconomic Analysis Using a Panel of Countries”, Review of Economics and Statistics, Vol. 82, pp. 182-211.

2. Simultaneous Equations with Error Components: •

Cornwell, C., and W. N. Trumbull (1994) “Estimating the Economic Model of Crime with Panel Data” Review of Economics and Statistics 76, 360-366.

3. Fixed vs. Random: Mincer Wage Equation using PSID Data •

Cornwell, C. and P. Rupert (1988) “Efficient Estimation with Panel Data: An Empirical Comparison on Instrumental Variables Estimators” Journal of Applied Econometrics3, 149-155.

4. Dynamic Panel Data Models: • • •

•

• • •

Arellano, M., and S. Bond (1991) “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Appication to Employment Equations” Review of Economic Studies, 277-297. Baltagi, B. H., J. M. Griffin and W. Xiong (2000) “To Pool or Not to Pool: Homogeneous Versus Heterogeneous Estimators Applied to Cigarette Demand” Review of Economics and Statistics82, 117-126 Caselli, F., G. Esquivel, and F. Lefort, (1996), “Reopening the Convergence Debate: A New Look at Cross-Country Growth Empirics”, Journal of Economic Growth, Vol. 1, pp. 363-390. Lee, K., M.H. Pesaran, and R.P. Smith, (1997), “Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model”, Journal of Applied Econometrics, Vol. 12, pp. 357-392. Holtz-Eakin, D., W. Newey, and H.S. Rosen, (1988), “Estimating Vector Autoregressions with Panel Data”, Econometrica, Vol. 56, pp. 1371-1395. Pesaran, M.H., Y. Shin, and R.P. Smith, (1998), “Pooled Mean Group Estimation of Dynamic Heterogeneous Panels”, Journal of the American Statistical Association, Vol. 94, pp. 621-634. Pesaran, M.H. and R.P. Smith, (1995), “Estimating Long-Run Relationships from Dynamic Heterogeneous Panels”, Journal of Econometrics, Vol. 68, pp. 79-113.

5. Limited Dependent Variables Panel Data Models: 6. Non-Stationary Panels: Empirical Examples •

• •

Frankel, J.A. and A.K. Rose, (1996), “A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries”, Journal of International Economics, Vol. 40, pp. 209-224. Levin, A., C-F Lin, C-S J. Chu (2002) “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties” Journal of Econometrics 108, 1-24. K. S. Im, M. H. Pesaran, and Y Shin (2003) “Testing for Unit Roots in Heterogeneous Panels” Journal of Econometrics 115, 53-74.