319012 Applied Panel Data Econometrics (V) (SoSe 2025)

This course will focus on the analysis and application of panel econometric methods intuitively and practically.
We will cover topics starting from static linear models (for continuous variables) namely, linear least squares, time series discussion, one-way and two ways error component models for fixed and random effects estimators.
Next, we will discuss various panel hypothesis tests for the model parameters and the presence of effects. We will also discuss typical panel data issues notably, serial correlation, heteroskedasticity and cross-sectional dependence and how they can be treated.
The discussion will then be extended to the concept of dynamic panel models especially the variants of panel generalized method of moments (GMM) type of estimators.
Finally, panel data models for categorical dependent variables (binary, ordinal and multinomial) are presented.
We will use R for the practical implementation of the analysis (with real-world dataset). The course will be taught in English

Literaturangaben

The lecture mostly follows the book by Badi Baltagi (2005): Econometric Analysis of Panel Data, John Wiley and Sons, (third edition)