Прикладная эконометрика панельных и пространственных данных

Магистратура 2021/2022

Лучший по критерию «Полезность курса для Вашей будущей карьеры»

Статус: Курс по выбору (Прикладная экономика и математические методы)

Направление: 38.04.01. Экономика

Кто читает: Департамент экономики

Где читается: Санкт-Петербургская школа экономики и менеджмента

Когда читается: 2-й курс, 1 модуль

Формат изучения: без онлайн-курса

Охват аудитории: для своего кампуса

Преподаватели: Скоробогатов Александр Сергеевич

Прогр. обучения: Прикладная экономика и математические методы

Язык: английский

Кредиты: 5

Контактные часы: 44

Full Syllabus

Abstract

The course “Applied Paned Data and Spatial Econometrics” is aimed at students with background in statistics and econometrics who would like to deepen their knowledge of econometric analysis of panel data and spatial econometrics.

Learning Objectives

deepen their knowledge of econometric analysis of panel data and spatial econometrics
deepen their knowledge of econometric analysis of panel data and spatial econometrics.

Expected Learning Outcomes

Be able to choose an estimator based on its statistical features, assumptions underlying related theory, and the nature of data at hand.
Understand econometric theory underlying fixed effects and random effects models, first difference model, dynamic panel model, Taylor-Hausman model, panel data fixed effects and random effects models, first order spatial lag model and related models, panel data and binary choice spatial models, heteroscedasticity and serial correlation robust estimators.

Course Contents

Introduction to panel data econometrics
Fixed effects and related models
The use of fixed effects and related models
Random effects model
Heteroscedasticity and auto-correlation in panel data models
Dynamic panel data regression
Binary choice panel data models
Introduction to spatial econometrics
First order spatial lag model and related models
Choice of specification using spatial models
Spatial panel data regressions
Spatial binary choice models

Assessment Elements

in-class computer test
class participation
written final exam
in-class computer test
class participation
written final exam

Interim Assessment

2021/2022 1st module
0.3 * in-class computer test + 0.2 * class participation + 0.5 * written final exam

Bibliography

Recommended Core Bibliography

Tsionas, M. (2019). Panel Data Econometrics : Theory (Vol. First edition). London: Academic Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1951497
Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge, Mass: MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=78079

Recommended Additional Bibliography

Arellano, M. (DE-588)13168423X, (DE-627)512717885, (DE-576)298671840. (2003). Panel data econometrics Manuel Arellano. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.092725740
Econometric analysis of panel data, Baltagi, B.H., 2008
Verbeek, M. (2004). A Guide to Modern Econometrics (Vol. 2nd ed). Southern Gate, Chichester, West Sussex, England: John Wiley and Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=108185
Wooldridge, J. M. . (DE-588)131680463, (DE-627)512715513, (DE-576)298669293, aut. (2013). Introductory econometrics a modern approach Jeffrey M. Wooldridge.

Course Syllabus