Flexible learning
Online postgraduate courses
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.
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- 20 Credits
- 200 hours of study
- 25 contact hours
- 175 hours for private study
Faculty
Structure
Structure
Microeconometrics and Panel Data Econometrics is a core 20 credit course and therefore students are expected to input approximately 200 hours of study into the course.
The total number of contact hours is 25 hours. This leaves 175 hours for private study.
Lectures
This module consists of 4 - hour lectures per day for 5 days, plus a 1 - hour tutorial per day.
There will be optional clinics on the last day of the course.
The dates of each lecture are confirmed closer to the start of each term. If you have any questions about dates, please contact edu@timberlake.co.uk.
Stata
Module Programme
Overview of Ordinary Least Squares with Cross-Sectional Data
- 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
- 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
- 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
- POLS versus RE and FE
- Comparing RE and FE. Correlated Random Effects
- Comparing FE and FD
Heterogeneous Trends. Difference-in-Differences and Staggered Designs
- Heterogeneous Trend Models
- Basic Difference-in-Differences
- Adding Pre-Treatment Periods
- Many Time Periods
- Staggered Interventions
Unbalanced Panels. Large-T Panels. Cross-Sectional Dependence
- 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
- Idiosyncratic Endogeneity versus Heterogeneity Exogeneity
- Definition and Properties of the Estimators
- Specification Tests: Endogeneity and Overidentification
First-Differencing IV Approaches
- 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
- 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
- Endogeneity in Nonlinear Models
- Combining the CRE and Control Functional Approaches
- A Probit Response Function: Binary and Fractional Outcomes
- An Exponential Response Function
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
- 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.
- 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
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.
All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.
No, all necessary software is provided to students.
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.
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.
Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education
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Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education