A cemmap Masterclass
Fixed effects treatment of panel data
Bo Honoré, Princeton
5 and 6 November
2015 CILIP, London
This course reviews fixed effects approaches to estimation of nonlinear panel data models.
In the course, we consider both static and dynamic panel data versions of standard nonlinear models such
as qualitative response models, multiplicative models, models with selection, and duration models. The
importance of the panel aspect is that it allows us to investigate models with error terms that have an
unrestricted individual-specific effect. The main question that will be addressed is whether it is possible to
identify and estimate the “structural” parameters of these models when the number of time-periods is much
smaller than the number of cross sectional units. We will consider both parametric and semiparametric
versions of the models; if time permits, we will also discuss the corresponding nonparametric models.
We will emphasize practical aspects of the available methods, and the course will be taught at a level of
rigor appropriate for well-trained graduate students interested in empirical microeconomics.
Programme
Day One: Thursday 5 November 2015
10.15 – 10.45:
Registration and Coffee
10.45 – 13.00:
Session 1: Motivations and introduction. The linear model. Static Binary models.
(Coffee Break 11.45-12.00)
13.00 – 14.00:
Lunch
14.00 – 16.15:
Session 2: Dynamic Binary models. VAR Binary Panel Data
models. (Tea Break 15.00-15.15)
Day Two: Friday 6 November 2015
10.15 – 10.45:
Coffee
10.45 – 13.00:
Session 3: Other Nonlinear Dynamic and Static Panel Data models. Multiple fixed
effects.
(Coffee Break 11.45-12.00)
13.00 – 14.00:
Lunch
14.00 – 16.15:
Session 4: Nonparametric approaches and wrapping up.
(Tea Break 15.00-15.15)