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.

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.

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