Course description
During the course the students will learn how to estimate panel data models and models with discrete and bounded dependent variable. The students will understand how to estimate the probability that an individual will choose a specific alternative, how to take into account that the sample might be biased because only economic agents with specific characteristics were selected, or how to estimate importance of various factors influencing the length of some phenomenon. Main topics of the course: maximum likelihood method, logit and probit models; models of ordered selection; Poisson model; negative binomial model; zero-inflated models; tobit models I and II. Besides, the students will learn about the possibilities of establishing causal relationships for non-experimental data (difference-in-difference method, instrumental variables method) as well as will understand better the methodology of empirical economic research, about potential of econometric models and the limits of their usage. The students will estimate all these models on real-life data using STATA software package.
Topics
- Discrete choice models
- Censored regression models
- Panel data models
Literature
- Arellano M. Panel Data Econometrics. Oxford University Press, 2003.
- Baltagi B. Econometric Analysis of Panel Data. Wiley, 2013.
- Cameron A., Trivedi P. Microeconometrics Using Stata. Stata Press, 2010.
- Cameron A., Trivedi P. Regression Analysis of Count Data. Cambridge University Press, 1998.
- Hsiao C. Analysis of Panel Data. Cambridge University Press, 2014.
- Greene W. H. Econometric Analysis. Prentice Hall, 2011.
- Lancaster T. The Econometric Analysis of Transition Data. Cambridge University Press, 2008.
- Wooldridge J. M. Introductory Econometrics: A Modern Approach. South-Western College Publishers, 2015.
- Wooldridge J. M. Econometric Analysis of Cross Section and Panel Data. MIT Press, 2010.