Course: Econometric Analysis of Panel Data
Lecture Hall: AC2 NMLT
Instructor: Tulasi Ram Reddy (tulasi ‘dot’ math ‘at’ gmail ‘dot’ com)
Topics covered: OLS Regression, Generalized OLS, One way fixed and random effects model, Two way fixed and random effects model, Seemingly Unrelated Regressions (SUR), Regression Discontinuity Design, Difference in Differences, Synthetic Inference, Staggered Designs, M-Estimation, Asymptotic Theory, issues with sampling (if time permits, we will cover some Machine Learning aspects of panel data).
Pre-requisites: Familiarity with basic statistical concepts such as estimation techniques, hypothesis testing, and probability distributions. Exposure to regression analysis, including simple linear regression and multiple regression, is essential. Understanding of Linear algebra and multivariate calculus (derivatives and integrals) is necessary.
| Lecture | Contents | Supplementary material |
|---|---|---|
| 1 | Introduction and Review | |
| 2 | SUR Model | |
| 3 | Fixed and Random Effects | Chapters 2 and 3 of Arellano; Aditionally refer Chapter 16 in the Effect book |
| 4 | Fixed and Random Effects | Chapters 2 and 3 of Hsiao Cheng |
| 5 | Estimating Effects | Chapter 2 of B. H. Baltagi |
| 6 | Tests on Effects | Chapter 4 of B. H. Baltagi |
| 7 | Discontinuity Designs | See Chapter-06 in Causal Inference - The Mixtape book; See Chapter 20 in the Effect book. |
| 8 | Difference in Differences | See Chapter-09 in Causal Inference - The Mixtape book; See Chapter 18 in the Effect book; Minimum Wages and Employment: A Case Study of the Fast-Food Industry in New Jersey and Pennsylvania by David Card and Alan B. Krueger |
| 9 | Synthetic Inference | See Chapter-10 in Causal Inference - The Mixtape; See Synthetic Difference-in-Differences by D. Arkhangelsky, S. Athey, D. A. Hirshberg, G. W. Imbens and S. Wager |
| 10 | Staggered Designs | See Chapter-09 in Causal Inference - The Mixtape book; See Difference-in-Differences with multiple time periods by Brantly Callaway, Pedro H.C. Sant’Anna |
| 28-June-2025 | Class Presentations |
| Problem Sets (Posted on LMS): | Assignment - 1 (Due on 15-June ) | Assignment - 2 (Due on ) |
References:
- Econometric Analysis of Cross Section and Panel Data by J. M. Wooldridge
- Econometric Analysis of Panel Data by B. H. Baltagi
- Mostly Harmless Econometrics: An Empiricist’s Companion by J. Angrist and J-S. Pischke.
- Analysis of Panel Data by H. Cheng
- Panel Data Econometrics by Manuel Arellano
- Causal Inference - The Mixtape by Scott Cunningham
- The Effect: An Introduction to Research Design and Causality by Nick Huntington-Klein