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Panel Data Models 2012
This page is to support Topics in Data Analysis: Panel Data Models (ADC6512) in 2012. The target audience is (2nd year) linkages students in IDP and PMPP who have already taken DCC5220 and DCC 5260 but have not taken ADC6515.

Week 1 · Week 2 · Week 3 · Week 4 · Week 5 · Week 6 · Week 7 · Week 8 · Week 9 · Week 10


Bivariate Normal Distribution SYLLABUS & ANNOUNCEMENT

Bivariate Normal Distribution WEEK 1: PANEL DATA & STATA BASICS
Bivariate Normal Distribution WEEK 2: ORDINARY LEAST SQUARES & HYPOTHESIS TESTS

Bivariate Normal Distribution WEEK 3: LEAST SQUARES DUMMY VARIABLE (LSDV) MODEL
  • Greene (2011) 6.2 and 11.3; Kennedy (2008) Chapter 15; Park (2011) Section 4
  • Suits, Daniel B. 1984. "Dummy Variables: Mechanics V. Interpretation." Review of Economics & Statistics, 66 (1): 177-180.
  • Optional: Wonnacott & Wonnacott (1981) 4.1 (pp. 104-115)
  • Lab (27th): Reshaping data sets and fitting OLS | reshape.do
Bivariate Normal Distribution WEEK 4:PANEL DATA MODELS
  • Greene (2011) Chapter 11; Kennedy (2008) Chapter 18
  • Park (2011) Section 3
  • Optional: Wooldridge (2009) Chapter 13, 14

Bivariate Normal Distribution WEEK 5: FIXED EFFECT MODEL
  • Greene (2011) 11.4; Baltagi (2008) Chapter 2 (pp. 13-17); Park (2011) Section 5
  • Lab: Baum (2006); Cameron & Trivedi (2010); Stata Press (2011)
Bivariate Normal Distribution WEEK 6:RANDOM EFFECT MODEL 1
  • Greene (2011) 11.5.1-11.5.4; Baltagi (2008) Chapter 2 (pp. 17-22); Park (2011) Section 6
  • Lab: Baum (2006); Cameron & Trivedi (2010); Stata Press (2011)

Bivariate Normal Distribution WEEK 7: RANDOM EFFECT MODEL 2
  • Breusch, T. S., and A. R. Pagan. 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics." Review of Economic Studies, 47(1): 239-253.
  • Optional: Baltagi 92008) Chapter 4.2 (pp. 63-65); Rabe-Hesketh and Skrondal (2008)
  • Random Effect Model (Stata do file)
Bivariate Normal Distribution WEEK 8: FIXED versus RANDOM EFFECTS
  • Chow test Hausman test (Stata do file)
  • Greene (2011) 11.5.5; Kennedy (2008) Chapter 18; Park (2011) Section 7
  • Chow, Gregory C. 1960. "Tests of Equality Between Sets of Coefficients in Two Linear Regressions." Econometrica, 28 (3): 591-605. | Chow test in Stata
  • Hausman, J. A. 1978. "Specification Tests in Econometrics." Econometrica, 46(6): 1251-1271
  • Optional: Swamy, P. A. V. B. 1970. "Efficient Inference in a Random Coefficient Regression Model." Econometrica, 38: 311-323.
  • Optional: Wonnacott & Wonnacott (1981) Chapter 7

Bivariate Normal Distribution WEEK 9: NONSPHERICAL DISTURBANCES & OTHERS
  • Greene (2011)11.6
  • Optional: Baltagi (2008) Chapter 5
  • Midterm exam at PC124 14:40-16:10 Friday, March 9th
Bivariate Normal Distribution WEEK 10: PRESENTING PANEL DATA MODELS
  • Park (2011) Section 8; Mitchell (2008)
  • Final exam (Term project presentation)