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Econometric Analysis of Panel Data



Brief Description:
The Econometric Analysis of Panel Data short course focuses on hands-on experience in the estimation, interpretation and evaluation of economic relationships within a panel data context. The course covers various models for analysis, including static-linear, fixed- effects, least-squares dummy variables, one-way and two-way error components, and the pooling of slope and intercept coefficients. The course also gives you an in-depth look into hypothesis testing, problems of heteroscedasticity and autocorrelation, endogenous regressors, dynamic linear model specifications and panel time- series issues and estimation. You will also be able to put your skills to the test during practical evaluations and estimations of panel data.

Learning Outcomes:
After successful completion of this programme, you will be able to
• estimate regression models for data organised in a panel
• deal with violations of the basic assumptions of regression analysis, and
• apply techniques of unit root testing and cointegration.

Course Content:
The course covers the following topics:
1. Stationary panel data:
     • One-way error component models
     • Two-way error component models
     • Hypothesis testing

2. IV and dynamic panel data
     • Instrumental variables
     • Dynamic panel data models

3. Panel heterogeneity revisited, spatial dependence
     • Heterogeneity in slope coefficients
     • Cross-sectional dependence

4. Non-stationary panel data
     • Overview of the issues
     • Unit root tests
     • Estimation of non-stationary time series
     • Cointegration tests

Entry Requirements:
Honours level qualification in time-series Econometrics (including exposure to the concepts of unit root testing and cointegration). An understanding of matrix algebra and experience as a researcher or analyst in any of the fields of economic application. Proficiency in EViews is also advised.

Dates To Be confirmed

Important Info

Course Number:

P000991


Catalogue Category:
Financial Science and Economics


Who Should Attend:

This course is ideal for you if you are a researcher or analyst in all fields of economic application, including development economics, public finance and tax policy, socioeconomics and health, financial markets, as well as international trade and finance.



Delivery Mode:

Contact


Contact Days:

5



 

E-mail address:

info@enterprises.up.ac.za

Telephone number:

+27(0) 12 434 2500

Fax number:

+27(0) 12 434 2505

Website:

www.enterprises.up.ac.za
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