Advanced Econometrics – Panel Data Analysis

A rigorous graduate-level treatment of econometric methods for longitudinal (panel) data, where multiple cross-sectional units are observed over time. Students move from static linear models through dynamic GMM estimators, non-linear binary and count-data models, and macro-panel methods for unit-root and cointegrated systems. Every chapter pairs derivation-level theory with hands-on R implementation using plm, gmm, sandwich, and related packages, culminating in an independent empirical research paper.

  • Level: advanced
  • Duration: 12 weeks
  • 15 sections
  • Price: $49.99

Topics: panel data, fixed effects, random effects, Hausman test, GMM, Arellano-Bond, Blundell-Bond, dynamic panels, Nickell bias, cluster-robust standard errors, panel IV, Hausman-Taylor, conditional logit, panel Tobit, panel unit roots, panel cointegration, cross-sectional dependence, stacked DiD, plm, R econometrics

What's inside

  1. Advanced Econometrics – Panel Data Analysis
  2. Chapter 1: Introduction to Panel Data Structures
  3. Chapter 2: The Fixed Effects Estimator
  4. Chapter 3: The Random Effects Estimator
  5. Chapter 4: Model Diagnostics and Specification Testing
  6. Chapter 5: Heteroskedasticity, Serial Correlation, and Robust Standard Errors
  7. Chapter 6: Endogeneity and Panel Instrumental Variables
  8. Chapter 7: Dynamic Panel Data Models and Nickell Bias
  9. Chapter 8: Difference GMM — Arellano-Bond
  10. Chapter 9: System GMM — Blundell-Bond
  11. Chapter 10: Non-Linear Panel Models — Binary Choice
  12. Chapter 11: Count Data & Censored Panel Models
  13. Chapter 12: Macro Panels — Cross-Sectional Dependence, Unit Roots & Cointegration
  14. Chapter 13: Stacked Difference-in-Differences
  15. Chapter 14: Conclusion & Directions for Further Study

Read a free sample chapter