Courses Exchange Display 2024-2025

Course Description To PDF
Course title Panel Data Econometrics
Course code EBC4006
ECTS credits 6,5
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
4 3-2-2025 30-3-2025 X X X
Level Advanced
Coordinator Martin Schumann
For more information: m.schumann@maastrichtuniversity.nl
Language of instruction English
Goals
Thorough understanding of the most frequently used econometric models and methods for the analysis of panel data, categorical choice and limited dependent variables.
Some practice in the application of the methods, the interpretation of the models, and the evaluation of inferences.
The experience of conducting a theoretical, experimental and/or empirical investigation of the methods.
Description
The main topics of the course are (1) unobserved effects models for panel data, (2) probit and logit models for discrete choice, (3) tobit and related censored regression models, (4) models dealing with sample selectivity, and (5) the estimation of average treatment effects (a.k.a. policy impact evaluation). Dynamic extensions of the models are considered when feasible. Estimation and testing methods are applied in a number of empirical assignments and their properties are investigated.
Literature
Cameron, A.C. and P.K. Trivedi (2005): Microeconometrics, Methods and Applications, Cambridge University Press 2005. ISBN 978-0521-84805-3.

Wooldridge, J.M. (2010): Econometric Analysis of Cross Section and Panel Data, Second Edition. MIT Press, Cambridge, MA, 2010, 2nd ed., ISBN 0-978-0-262-23258-6.

These references will be supplemented with a reading list of journal articles and book chapters.
Prerequisites
This course is in transition for the master Business Research.
See the Master Education and Examination Regulations for more information.

The following rule applies to master Business Research students who started the programme prior to academic year 2024-2025.
TRANSITIONAL REGULATION (EBC4006):
The master Business Research has been discontinued.
Courses of the Business Research master’s programme will continue to be offered until and including academic year 2025-2026 with exam opportunities running until and including 2026-2027.


PREREQUISITES:
* Calculus, matrix algebra, probability, mathematical statistics, asymptotic theory, linear statistical models.
* Familiarity with statistical software like Stata and Gauss, Matlab, or R.
* Econometric methods at the level of Greene (2008) or Davidson & MacKinnon (2004), ideally as in courses Econometric Methods I (EBC2111) and Econometric Methods II (EBC2120).

The course is intended for students in the Econometrics Master programme as well as others with a comparable background and motivation. FLUENCY IN MATRIX ALGEBRA AND IN ASYMPTOTIC THEORY is necessary.
An advanced level of English.
Teaching methods (indicative; course manual is definitive) Presentation / Lecture / Assignment / Papers / Groupwork / Research
Assessment methods (indicative; course manual is definitive) Final Paper / Attendance / Assignment / Presentation
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Business Research - No specialisation Transitional Regulation
Master Business Research - Operations Research Transitional Regulation
Master Econometrics and Operations Research Elective Course(s)
Master Economic and Financial Research - Econometrics Elective Course(s)
Master Economic and Financial Research - Econometrics Year 1 Core Course(s)
Master Economic and Financial Research - No specialisation Elective Course(s)
Master Financial Economics - Asset Pricing Elective Course(s)
Master Financial Economics - Banking Elective Course(s)
Master Financial Economics - Financial Analysis Elective Course(s)
Master Financial Economics - No specialisation Elective Course(s)
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses