Panel Data for Banking Sector Analysts
Registration deadline: 18 February 2020
The course will cover the basics of panel data analysis and some more advanced extensions, focusing mainly on microeconometric settings with a large number of cross-sectional observations.
The common estimators – random effects, fixed effects, and first differencing will be discussed, with emphasis on robust inference and specification tests. Extensions that allow heterogeneous slopes and trends, and instrumental variables methods, will also be covered. Estimation of dynamic models also will be covered. Fixed effects estimation and inference with a large number of time periods, applicable to more aggregated data, will also be treated. The problem of unbalanced panels and how to test for nonrandom sample selection will be covered. If time permits, nonlinear models for binary and nonnegative outcomes will be introduced.
The statistical package Stata will be used to illustrate all of the methods, including applications to the banking sector.
- Random Effects, Fixed Effects, First Differencing
- Robust Inference and Robust Specification Tests
- Instrumental Variables
- Heterogeneous Trend and Slope Models
- Dynamic Models
- Large-T Panels
- Correlated random effects approaches to panel data
- Unbalanced panels and detecting sample selection problems
- Nonlinear Panel Data Models
What you will learn
- You will learn to use Stata to estimate basic linear panel data models by random effects, fixed effects, first differencing, and instrumental variables versions of these.
- You will learn how to use robust specification tests to choose among estimation methods.
- You will learn what happens when additional heterogeneity is introduced into the basic model.
- You will be introduced to large T panel data sets.
- You will understand the consequences of unbalanced panel data sets.
- You will understand the tradeoffs between pooled and joint estimation methods for nonlinear models.
Meet the instructor
Jeffrey Wooldridge is University Distinguished Professor of Economics at Michigan State University. He is a Fellow of the Econometric Society and the Journal of Econometrics. He is the author of two textbooks in econometrics: Introductory Econometrics: A Modern Approach, 6e; and Econometric Analysis of Cross Section and Panel Data, 2e. He has served on several editorial boards, including as editor for the Journal of Business and Economic Statistics as co-editor of Economics Letters. While an assistant professor at MIT, he won the graduate teacher-of-the-year award three times. He has given dozens of econometrics short courses around the world.
MA degree in business, economics, or statistics. Or, a BA in economics with training in linear algebra and multivariable calculus. A knowledge and understanding of ordinary least squares, generalized least squares, instrumental variables (using matrix algebra), some asymptotic theory is required to follow the course
Participant are required to bring their own laptops with the STATA software installed.
1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks and European Institutions).
1900€ – Private Sector.
950€ – Academics (Full-time Professors, full-time PhD Students and full-time Research Associates). Please submit a certificate attesting your status of Professor, PhD Student or Research Associate to firstname.lastname@example.org before registering. FBF secretariat will provide you with a code to register.
The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.
Please note that the payment must be settled two weeks before the start of the course.
- In case a course is cancelled, registered participants will receive the full refund.
- In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
- Registered participants who have not yet paid the registration fee can cancel their participation until one month before the start of the course.
- The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.
For more details, please contact email@example.com
A certificate of attendance will be provided to all participants after the course.
Please notice that the course dinner, and most of the social activities, will take place downtown.
Recommended hotels in downtown Florence:
Recommended hotels nearby the EUI:
Suggested restaurants in Florence city centre
- Coquinarius – Ph. +39 055 230 21 53
- SimBIOsi – Ph. +39 055 064 01 15
- Restaurant Accademia – Ph. +39 055 21 73 43
- Restaurant Cucina Torcicoda – Ph. +39 055 265 43 29
- Finisterrae – Ph. +39 055 263 86 75
- Il Vezzo – Ph. +39 055 28 10 96
- Osteria di Giovanni – Ph. + 39 055 28 48 97
On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.
General information on local transport
From Florence airport:
Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.
A tramway (line T2) connects the airport to the city centre. Trains leave from the airport terminal and take 20 minutes to the main railway station. One-way tickets can be bought from vending machines for €1.50.
The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.
From the central railway station:
Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafès (bar). Bus tickets can be purchased also on board with a contactless credit card (Mastercard, Maestro, Visa and V PAY).
From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.
The EUI has several free parking areas available all over the Campus.