Course: Econometric Analysis of Panel Data

Lecture Hall: AC2 NMLT

Instructor: Tulasi Ram Reddy (tulasi ‘dot’ math ‘at’ gmail ‘dot’ com)

Office: 1016 (courtyard level)

Confounding

Topics covered: OLS Regression, Generalized OLS, One way fixed and random effects model, Two way fixed and random effects model, Seemingly Unrelated Regressions (SUR), Dynamic SUR, Instrumental Variables, 2SLS Estimators, Regression Discontinuity Design, Difference in Differences, M-Estimation, Genaralised Method of Moments (GMM), System GMM, 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 Date Contents Supplementary material
1 22 July Introduction  
2 22 July Review (properties of Gaussian distribution)  
3 27 July OLS and generalised OLS  
4 27 July Issues with OLS  
5 29 July Diagnostics  
6 29 July Diagnostics  
7 31 July SUR Model  
8 31 July SUR Model  
9 5 August One way fixed and random effects model Chapters 2, 3 and 4 of Baltagi
10 5 August One way fixed and random effects model Chapters 2 and 3 of Hsiao Cheng
11 7 August Two way fixed and random effects model Chapters 2, 3 and 4 of Baltagi
12 7 August Two way fixed and random effects model Chapters 2 and 3 of Hsiao Cheng
13 12 August Potential Outcomes Framework  
14 12 August Endogenity  
15 14 August Instrumental Variables Two-Stage Least Squares Estimation of Average Causal Effects in Models with Variable Treatment Intensity by Guido W. Imbens and Joshua D. Angrist
16 14 August Instrumental Variables Identification and Estimation of Local Average Treatment Effects by Guido W. Imbens and Joshua D. Angrist
  16 August Class Presentations Sudheer Kumar/Rohan Bapat/Bishav Raj
17 19 August Regression Discontinuity Designs Extended lecture: Presentation by Shubh Mittal
18 19 August Difference in Differences Minimum Wages and Employment: A Case Study of the Fast-Food Industry in New Jersey and Pennsylvania by David Card and Alan B. Krueger
19 21 August Difference in Differences  
20 21 August Staggered Designs Extended lecture: Presentation by Amulya
21 23 August Synthetic Inference Synthetic Difference-in-Differences by D. Arkhangelsky, S. Athey, D. A. Hirshberg, G. W. Imbens and S. Wager
22 23 August Synthetic Inference  
23 26 August Generalized Method of Moments  
24 26 August Copula Method Extended lecture: Presentation by Amarendra
  28 August Class Presentations Poonamjot/Denis/Ashwini
Problem Sets (Posted on LMS): Assignment - 1 (Due on 8-Aug) Assignment - 2 (Due on 23-Aug )

References: