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ECON5103 - Advanced Econometrics - Panel Data

Facts about this course: Credits: 15 Level: Advanced course at master's level Teaching semester: Spring 2010 Examination semester: Spring 2010 Language of instruction: English Administrated by: Department of Economics

Detailed course information - Current and previous semesters: Spring 2010

Course content

Panel data (combined cross section/time series data) is a data type which has receiving gradually increasing interest for empirical analysis in economics. Following a short introductionary part that reviews intermediate level econometrics, the course deals primarily with econometric modelling,estimation, and testing of relationships for panel data in the presence of individual heterogeneity. Selected topics in dynamic panel data analysis will also be discussed.

Most attention is given to balanced panel data (i.e., data sets with equally long time series for all cross-sectional units), but unbalanced data (which are getting increasing importance) are also discussed. The topics include: regression analysis with individual-specific (and to some extent time-specific) heterogeneity (fixed and random effects); models with random coefficients; measurement error models for panel data; dynamic models for panel data; selected topics in discrete choice analysis with panel data; and multi-equation models for panel data. Applications will be discussed.

Panel data is a data type which is receiving gradually increasing interest for empirical analysis in economics. The course deals primarily with econometric modelling, estimation, and testing of relationships for panel data (combined cross section/time series data) in the presence of individual heterogeneity. Selected topics in time series analysis, especially topics of relevance for panel data analysis of dynamic models, will also be discussed. Most attention is given to balanced panel data (i.e., data sets with equally long time series for all cross-sectional units), but unbalanced data (which are getting increasing importance) are also discussed. The topics include: regression analysis with individual-specific (and to some extent time-specific) heterogeneity (fixed and random effects); models with random coefficients; measurement error models for panel data; dynamic models for panel data; selected topics in discrete choice analysis with panel data; and multi-equation models for panel data. Applications will be discussed.

Learning outcomes

• The students should be able to formulate static and dynamic econometric models for panel data on the basis of economic theories and to translate models for cross-section data and for time-series data into panel data models.
• They should recognise why panel data is a richer data source than pure cross-section data, pure time-series data and repeated cross sections.
• They should also know the potential of panel data to deal with estimation biases following from heterogeneity in individual characteristics and individual behaviour.
• They should be able, from actual observations, to estimate parameters in panel data models by using suitable software.
• They should know basic econometric terminology and estimation and test principles for efficient inference with panel data.
• They should be able to formulate dynamic single-equation models for stationary time series data and panel data, to interpret such models, and to quantify differences between long-run and short-run effects.

Admission

The subject is open for both Norwegian and international students.
Students who are admitted to study programmes or individual courses at UiO must each semester register which courses and exams they wish to sign up for in StudentWeb.
International applicants, if you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in StudentWeb.

Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

International applicants, if you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.

The examination in this course is not available for external candidates. Only students admitted to the course may sit for the examination.

Prerequisites

Formal prerequisites

ECON4135 - Applied statistical analysis for the social sciences or ECON4150 - Introductory Econometrics

Recommended prior knowledge

ECON4130 - Statistics 2, ECON4160 - Econometrics - Modeling and systems estimation. Basic knowledge of matrix algebra.

Overlap

10 credits against ECON5120 - Panel Data Econometrics.

Teaching

Teaching takes place throughout the semester.

Criteria for access to teaching resources

A student who has completed compulsory instruction and coursework and has had these approved, is not entitled to repeat that instruction and coursework. A student who has been admitted to a course, but who has not completed compulsory instruction and coursework or had these approved, is entitled to repeat that instruction and coursework, contingent on available capacity.

Exam information

The students will be evaluated on the basis of a portfolio assessment.

Assessment and grading

Students on masters level are awarded on a descending scale using alphabetic grades from A to E for passes and F for fail. Students who would like to have the course approved as a part of our phd-program, must obtain the grade C or better. Students on phd-level are awarded either a passing or failing grade. The pass/fail scale is applied as a separate scale with only two possible results.

Explanations and appeals

Students can request an explanation of their grades, and can also appeal against their grades or make a complaint about formal examination errors. Read more about explanations and appeals

Possibility of make-up exams and re-takes

The Department of Economics has passed following resolution for ECON-courses: It will no longer be possible for candidates to register for an exam in a lower level course after having passed exams in intermediate and advanced level courses in the same subject area (also where there are no pre-requisites that apply to the intermediate course). Further information can be found here.

You can usually resit an exam, but the conditions depend on whether you had a valid reason for absence from the regular exam. Read more about resitting an exam .

Exam options for students with special needs

Students may apply for access to alternative exam resources or exam forms on the basis of chronic illness and/or special needs that create a marked disadvantage to other students in the exam situation. Mothers who are breastfeeding may apply for extra time to complete the exam.

Evaluation of this course

Feedback from our students is essential to us in our efforts to ensure and further improve the high quality of our programmes and courses. As a student at the University of Oslo you will therefore be asked to participate in various types of evaluation of our courses, facilities and services. All courses are subject to continuous evaluation. At regular intervals we also ask students on a particular course to participate in a more comprehensive, in-depth evaluation of this course, a so called "periodic evaluation".

Other information

This course prepares for the Ph.D.program. It provides a head start for last-year master students who intend to continue with a Ph.D.

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