Part 2: macro panel
Course description
The course aims to provide a comprehensive overview of the more advanced techniques for modeling panels of macro data, such as country/region repeated time series, where the individual dimension is usually smaller than the time dimension. 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 macro panel data, to assess the strengths and weaknesses of an empirical paper, and to make their own empirical models. Therefore, this course is open to students interested in empirical issues, either because they plan to make empirical works as a part of their research project, or because they would like to be able to read with critical view the applied panel literature available in their area of specialization.
Topics
1. Heterogeneous panels. ARDL specification and Pesaran’s poolability.
Methods: Mean-Group (MG) and Pooled- MG estimators. Pseudo panels.
Applications: fiscal policy stance models; households’ inflation perceptions measurement.
2. Non-stationary panels. Integration and cointegration with cross section variability.
Methods: LLC, IPS, CIPS and CADF unit root tests.
Application: companies’ leverage and mean reversion.
Prerequisites
Econometrics 1, 2 and 3 (LMEC), and Advanced panels – part 1 (micro panels).
Teaching methods
Each lecture will be devoted to specific methodological aspects both from the theoretical and the applied point of view, using Stata package in class. Students can use their mobile PCs in class, as long as they have installed the Stata software.
Assessment methods
Students can choose one of the following three: (1) Applied exercises based on a list of questions and data provided by the teacher; (2) preliminary inspection of their own data; (3) deepen a specific methodological aspect of the course. Assessment methods (2) and (3) assume that the student has started her research project.