Panel data for banking sector analysts

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.