PhD Microeconometrics & Macroeconometrics

Course Outline

Econometrics is the merge of mathematics, statistics, socio-economic principles and ... your thinking....stop here? No! You have to combine all the previous skills with the appropriate use of the computer science.

The course aims to provide a comprehensive overview of the more advanced techniques for modeling panels:

- micro data, such as companies' balance sheets and households' surveys, where the individual dimension is much larger than the time dimension.

- macro data, such as country data of GDP, Inflation, Public Debt, Interest rates, FDI, where the time dimension is much larger than the individual dimension.

Some topics will be:

· Dealing with panel data-sets, intended as: time-series and cross-sectional data, hierarchical data with observations at higher and lower-levels.

· Discovering how to model and estimate the issue of interest, according to the problems at hand: static versus dynamic approaches, exogeneity versus endogeneity of covariates, clustering and generalized method of moments (GMM), heterogeneity, unit roots and long/short run relationships, ARDL specification and Pesaran's poolability (Mean-Group, MG, and Pooled Mean-Group, PMG), Integration and cointegration with cross-sectional dependence (CSD).

At the end of the course, students will acquire the set of basic tools and techniques which are necessary to understand the existing empirical literature based on panel data,to assess the strengths and weaknesses of an empirical paper, and to estimate their own empirical models. The course follows an applied approach and it is useful to students planning to have an empirical work as a part of their research project.

Some examples of panel datasets.

Longitudinal data (large N and "short" T):

- Panel Study of Income Dynamics

- National Longitudinal Surveys

- British Household Panel Survey 

- Indagine sulle Imprese Industriali e dei Servizi della Banca d'Italia

- The Household, Income and labour Dynamics in Australia

- Medical expenditure panel survey

- Bureau Van Dijk  partly available at the DSE:  follow this link

Cross section time series "long" T panel:

- Penn World Tables

Huge panel data:

- Financial data from Chicago Booth  

- Bloomberg 

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--- THE ASSIGNMENT --

Students' Evaluation will be formed by:

(1)  An exercise that will be discussed with the teacher during the lecture of Jan, 17th.                (30% of total evaluation)

(2)  A research project according to the guidelines provided by the final assignment;  

this has to be sent by email (mariaelena.bontempi@unibo.it) before midnight of May, 15th.         (70% of total evaluation)

Here you have what you need to make practice and to perform the exercise under point (1) above.