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Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
20 Credits

Microeconometrics and Panel Data Econometrics

Please note to take this course you must first have completed Foundations of Econometrics

The purpose of this course is to provide students with an in-depth understanding of panel data econometrics presented from a microeconometrics perspective. The course will cover linear panel data models with unobserved heterogeneity, including discussions of the strengths and weakness of the various estimation methods

​This module can be taken alone, or as part of a PG Certificate, PG Diploma or Full Masters Program.

Microeconometrics and Panel Data Econometrics
  • 20 Credits
  • 200 hours of study
  • 25 contact hours
  • 175 hours for private study
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Qualifications accredited by Lancaster University
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Fully Online

Structure

Software

Module Programme

Overview of Ordinary Least Squares with Cross-Sectional Data

2 hours
Session Content
  • Motivation for OLS: Applications of Conditional Means
  • Approximating Properties of the Linear Projection
  • Asymptotic Properties of OLS. Inference
  • Practical Issues in Using OLS: Functional Form, Goodness-of-Fit

Overview of Instrumental Variables with Cross-Sectional Data

2 hours
Session Content
  • Motivation for Instrumental Variables
  • Asymptotic Properties of Two Stage Least Squares (2SLS)
  • Specification Tests. Control Function Methods
  • Weak Instruments
  • Optimal Instruments
  • Models Nonlinear in Endogenous Explanatory Variables

The Unobserved Effects Model and Basic Estimators

2 hours
Session Content
  • The Unobserved Effects Linear Model
  • Assumptions for the Linear Model
  • Estimation Methods: Pooled OLS, Random Effects, Fixed Effects, First Differencing

Specification Tests and Choosing among Estimators

2 hours
Session Content
  • POLS versus RE and FE
  • Comparing RE and FE. Correlated Random Effects
  • Comparing FE and FD

Heterogeneous Trends. Difference-in-Differences and Staggered Designs

2 hours
Session Content
  • Heterogeneous Trend Models
  • Basic Difference-in-Differences
  • Adding Pre-Treatment Periods
  • Many Time Periods
  • Staggered Interventions

Unbalanced Panels. Large-T Panels. Cross-Sectional Dependence

2 hours
Session Content
  • The Nature of Unbalanced Panels
  • Properties of Basic Estimators with Unbalanced Panels
  • Tests of Selection Bias with Unbalanced Panels
  • Inference with Large-T Panels and Cross-Sectional Correlation
  • Spatial Correlation

Pooled 2SLS, RE 2SLS, and FE 2SLS

2 hours
Session Content
  • Idiosyncratic Endogeneity versus Heterogeneity Exogeneity
  • Definition and Properties of the Estimators
  • Specification Tests: Endogeneity and Overidentification

First-Differencing IV Approaches

2 hours
Session Content
  • The General FDIV Approach
  • Estimation in Models Under Sequential Exogeneity: The Arellano-Bond Approach
  • Adding Extra Moment Conditions: Arellano-Bover/ Blundell–Bond
  • Estimating Dynamic Models

Nonlinear Models under Strict Exogeneity

2 hours
Session Content
  • Linear versus Nonlinear Models
  • Including Heterogeneity in Nonlinear Models and Estimation Approaches7
  • Quantities of Interest: Average Partial Effects
  • Binary Response Models
  • Fractional Response Models
  • Exponential Models for Panel Data
  • Random Effects Poisson Estimation
  • Fixed Effects Poisson Estimation

Nonlinear Models under Endogenous Explanatory Variables

2 hours
Session Content
  • Endogeneity in Nonlinear Models
  • Combining the CRE and Control Functional Approaches
  • A Probit Response Function: Binary and Fractional Outcomes
  • An Exponential Response Function

Session Content

Session Content

Session Content

Prerequisites

English Language Requirements

Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.

 The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.

Academic Requirements

Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.

Learning Outcomes

Key Skills
  • Static panel models, random effects, fixed effects, first differencing estimators
  • Instrumental variables estimation of models without strictly exogenous explanatory variables
  • Dynamic panel models, Arellano Bond and Arellano Blundell Bond estimators
  • Estimation of linear models with heterogeneous trends and heterogeneous slopes
  • Unbalanced panels, how to test for sample selection and attrition bias.
Desired Skills
  • Engage in abstract thinking by extracting the essential features of complex systems to facilitateproblem solving and decision-making
  • Communicate and present complex arguments in oral and written form with clarity and succinctness
  • Present, interpret and analyse information in numerical form
  • Utilise effectively statistical and other packages
  • Apply basic statistical techniques to analyse economic and financial datasets
  • Work effectively both individually and within a team environment.

Frequently Asked Questions

Are the courses within either programme conducted synchronously or asynchronously?

All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.

Is all examination undertaken online or in-person?

All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.

Do I need to buy any statistical/econometric software?

No, all necessary software is provided to students.

What do I do if I can't attend a course live?

All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.

A Collaboration Like No Other

Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.

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