Regression, Causality and Panel Data – Part II
- 1. Panel data regression: dealing with endogeneity issues
- 2. Data structure & discussion
- 3. Formulation of the model
- 4. Fixed and Random Effects in Static Models
- 5. Hausman test for the validity of the random effects model
- 6. Hypothesis testing, Test for the presence of fixed effects, Wald tests, testing multiple hypothesis
- 7. Heteroscedasticity, Autocorrelation, Robust Estimation
- 8. Dynamic Panel Data: endogeneity & GMM
- 9. First-differences: Arellano & BondExogenous vs. Endogenous regressors
- 10. Validity of the Instruments: Sargan test
- 11. The system GMM estimator
- 12. Dynamic panel data models & variance correction
- 13. Unit root tests for panel data
Arellano, M. (2003), Panel Data Econometrics, Oxford University Press: New York.
Verbeek, M. (2012), A Guide to Modern Econometrics, 4th ed., John Wiley & Sons, Ltd.: Chichester, England.
Wooldridge, J. (2008), Econometric Analysis of Cross Section and Panel Data, 2nd ed., The MIT Press: Cambridge, Massachusetts.