ÊSTIMATE

ÊSTIMATE stands for "Early Summer Tutorial In Modern Applied Tools of Econometrics" - the title of a course to be run by the Econometrics group at Michigan State University between 31 May and 2 June this year.

The instructors will be Jeff Wooldridge and Tim Vogelsang, and the topics to be covered are:

1. Linear Panel Data Models with Microeconomic Data
        a. Random Effects, Fixed Effects, Differencing
        b. Correlated Random Effects
        c. Instrumental Variables
        d. Dynamic Models

2. Introduction to Regression with Time Series Data
        a. Basics of Time Series Regression in Stationary/Weak Dependent Settings
        b. Strict and Weak Exogeneity
        c. Time Trends
        d. Serial Correlation Robust Standard Errors (aka Newey-West)
        e. Fixed-b Asymptotics

3. Linear Panel Data Models with Many Time Periods
        a. Large-T Asymptotics
        b. Robust Inference: Clustering and Driscoll-Kraay Standard Errors    
        c. Link Between Individual/Time Period Dummies and Exogeneity Assumptions
        d. Perils of Two-Way Clustering in a Panel Setting

4. Nonlinear Panel Data Models with Microeconomic Data
        a. Fixed Effects, Conditional MLE, Correlated Random Effects
        b. Dynamic Models with Unobserved Heterogeneity

5. Control Function Methods for Handling Endogenous Explanatory Variables
        a. Linear Models with Random Slopes; Endogenous Switching
        b. Nonlinear Models; Limited Dependent Variables
        c. Combining Control Function and Correlated Random Effect Methods for Panel Data

Discounted registration is available until 1 March.

© 2013, David E. Giles