06.Sept- Afternoon session | 07.Sept - Full day session

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

Instructor

INSTRUCTOR

MIGUEL PORTELA

Associate professor | Economics Department
School of Economics and Management
Minho University

Find out more…

References

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.