Microeconometrics: Panel Data

Universität Basel, Spring 2024
Master in Wirtschaftswissenschaften
Prof. Dr. Kurt Schmidheiny

General Information:

• Syllabus and Calendar
• Slides Introduction: 4up, 1up

Lecture Notes:

• Elements of Matrix Algebra: 2up, 1up
• Panel Data I - Fixed and Random Effects: 4up, 1up
• The Bootstrap: 2up, 1up

Additional References:

• Kurt Schmidheiny and Sebastian Siegloch (2023), On Event Studies and Distributed-Lags in Two-Way Fixed Effects Models: Identification, Equivalence, and Generalization. Journal of Applied Econometrics, Forthcoming.
  > Doi: 10.1002/jae.2971, open access, online appendix
  > Data and code: Doi: 10.7910/DVN/LXMYV6 (Harvard Dataverse), Doi: 10.15456/jae.2023031.1844400605 (JAE Data Archive)
• Marianne Bertrand, Esther Duflo, Sendhil Mullainathan (2004), How Much should we Trust Differences-In-Differences Estimates? The Quarterly Journal of Economics, 119(1), 249-275.
• A. Colin Cameron, Jonah B. Gelbach, and Douglas L. Miller (2008), Bootstrap-Based Improvements for Inference with Clustered Errors, The Review of Economics and Statistics, 90(3), 414–427.
• A. Colin Cameron, and Douglas L. Miller (2015), A Practitioner’s Guide to Cluster-Robust Inference, The Journal of Human Resources, 50(2), 317-372.
• Jeffrey Wooldridge on Twitter, Oct 17, 2021.
• Uri Simonsohn on Data Colada, Oct 13, 2021.
• Alwyn Young (2019), Channeling Fisher: Randomization Tests and the Statistical Insignificance of Seemingly Significant Experimental Results, The Quarterly Journal of Economics, 134(2).
• Richard Blundell, Stephen Bond (1998), Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics, 87, 115-143.
• David Roodman (2009), A Note on the Theme of Too Many Instruments, Oxford Bulletin of Economics and Statistics, 71(1), 135-158.

Data:

• Marius Brülhart, Jonathan Gruber, Matthias Krapf, and Kurt Schmidheiny (2022), "Behavioral Responses to Wealth Taxes: Evidence from Switzerland". American Economic Journal: Economic Policy 14(4), 111-50.
  > Doi: 10.1257/pol.20200258, open access, online appendix
  > Data: Stata 14, Stata 11, csv, variables.

Problem Sets:

• Problem Set 1: 2up, 1up. Discussed Mar 12, 2024.
  Code: R script, formatted result table.
  Uri Simonsohn on Data Colada, Oct 13, 2021.
• Problem Set 2: 2up, 1up. Discussed Mar 19, 2024.
  Code: R script.
• Problem Set 3: 2up, 1up. Discussed Mar 26, 2024.
  Code: R script, perfect fit in question 1, calculation of time trend in question 2.
  Reference: Sergio Correia (2015) Singletons, Cluster-Robust Standard Errors and Fixed Effects: A Bad Mix.
• Problem Set 4: 2up, 1up. Discussed April 9, 2024.
  Reference: Bertrand/Duflo/Mullainathan (2004) Slides.
  Code: R script.
• Problem Set 5: 2up, 1up. Discussed April 16, 2024.

Exam: