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Homepage of course Dynamic models for panel data

Instructor: Laura Magazzini, ([email protected])

Language: Italian (the course may also be in English, if requested).

Duration: 10h, Spring, 2024.

Description: The course aims at providing students advanced econometric tool for the empirical analysis of dynamic panel data models. The study of microeconomic dynamics is one of the main advantages related to the availability of repeated observations over time. Theoretical development of the methods will be complemented by the discussion of empirical analysis on real data. At the end of the course, the students are expected to be able to carry out their own analysis of dynamic models for panel data.

Course outline

1. Generalized method of moments (GMM) estimator
2. GMM in the context of dynamic panel data models
3. Model diagnostics and assessment
4. Challenges in empirical research
5. Alternative estimation strategies (if time allows…)

Prerequisite: knowledge of estimation methods in a cross-sectional context is required (ordinary least squares and instrumental variable estimator), as well as basic knowledge of the fixed effect model for panel data econometrics.

Software: working knowledge of R and/or Stata is preferable.

Evaluation: Student assessment will be based on the development of an empirical project. The project can be carried out in small groups (max. 2 students per group). Students will be required to prepare a presentation to discuss the analysis. During the presentation students will be evaluated on the basis of their knowledge of the topics, the presentation of the analysis, and the use of specific language.