319012 Applied Panel Data Econometrics (V) (SoSe 2026)

This course will focus on the intuitive and practical analysis and application of panel econometric methods.
We will cover topics starting with static linear models (for continuous variables), namely linear least squares, time-series analysis, and one-way and two-way 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 dynamic panel models, especially variants of panel generalised method of moments (GMM) estimators.
Finally, panel data models for categorical dependent variables (binary, ordinal and multinomial) are presented.
We will use R to implement the analysis in practice (using a real-world dataset). The course will be taught in English