Advanced Panel Data Methods1 Econometrics 2 Advanced Panel Data Methods II.

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Advanced Panel Data Methods1 Econometrics 2 Advanced Panel Data Methods II

Advanced Panel Data Methods 2 Panel Data Methods Last time: Panel data with more periods and fixed effects estimation. First-differencing with more than two periods (13.5) Within transformation (14.1) Dummy variable regression A simulated illustration Example: Job training grants. Today: Panel data with uncorrelated heterogeneity. Alternative data structures. Random effects (RE) model (14.2) Feasible Generalized least squares estimation: RE estimation Fixed or random effects? Alternative data structures (14.3): Matched pair samples, cluster samples.

Advanced Panel Data Methods 3 Random effects model

Advanced Panel Data Methods 4 Random effects model (2)

Advanced Panel Data Methods 5 Covariance structure

Advanced Panel Data Methods 6 Covariance structure (2)

Advanced Panel Data Methods 7 GLS estimator for the RE model

Advanced Panel Data Methods 8 GLS estimator for the RE model (2)

Advanced Panel Data Methods 9 Feasible GLS: The RE estimator

Advanced Panel Data Methods 10 Fixed or random effects?

Advanced Panel Data Methods 11 Fixed or random effects? (2) AssumptionNameEstimatorProperties Random effects assumption (uncorrelated heterogeneity) i) Pooled OLS ii) Feasible GLS (RE) i) Consistent ii) Consistent and efficient Fixed effects assumption (correlated heterogeneity) i) First-differences (FD) ii) Within iii) Least squares dummy variables (LSDV) All are consistent ii) and iii) are identical

Advanced Panel Data Methods 12 Fixed or random effects? (3)

Advanced Panel Data Methods 13 Panel data models applied to other data structures

Advanced Panel Data Methods 14 Next time Monday next week! Heino takes over the course and talks about Monte Carlo simulation and PcNaive. Next topics are:  A short introduction to time series  A block on more on general estimation methods (maximum likelihood and generalized methods of moments). Remember the exercises this week! Thanks for now! Use my contact information on the home page if you have questions about the panel data part.