Applied Panel Data Econometrics (PhD)

University of Ljubljana
Summer School 2022
Prof. Dr. Kurt Schmidheiny

We will use STATA and R for applications in class in the problem sets:

Marius Brülhart, Jonathan Gruber, Matthias Krapf, and Kurt Schmidheiny (2021), "Behavioral Responses to Wealth Taxes: Evidence from Switzerland", Mimeo October 2021.
Data: Stata 14, Stata 11, csv, variables.
S. R. Baker and A. Fradkin (2017), "he Impact of Unemployment Insur- ance on Job Search: Evidence from Google Search Data", The Review of Economics and Statistics, 99(5), 756–768..
Data: Stata 14, Stata 11,
Daron Acemoglu, Simon Johnson, James A. Robinson, And Pierre Yared (2005), "From Education to Democracy?".
Data: Stata 14, Stata 11,

Panel Data: Fixed and Random Effects: 4up, 1up
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.
S. G. Donald and K. Lang (2007), Inference with Difference in Differences and other Panel Data, The Review of Economics and Statistics, 89(2), 221-233.
J.M. Wooldridge (2003), Cluster-Sample Methods in Applied Econometrics, American Economic Review Papers and Proceedings, 93(2), 133-138.

C. de Chaisemartin and D’Haultfœuille, X. (2022), Two-way fixed effects and differences-in-differences with heterogeneous treatment effects: a survey, Econometrics Journal, accepted manuscript published June 8, Stata replication data and code.
C. de Chaisemartin and D’Haultfœuille, X. (2020), Two-way fixed effects estimators with heterogeneous treatment effects, American Economic Review, 110(9), 2964–2996.
S. Athey and Imbens, G. W. (2022), Design-based analysis in difference- in-differences settings with staggered adoption, Journal of Econometrics, 226, 62–79.
L. Sun and Abraham, S. (2021), Estimating dynamic treatment effects in event studies with heterogeneous treatment effects, Journal of Econometrics, 225, 175–199.

Panel Data II - Dynamic Models: 4up, 1up
Manuel Arellano and Stephen Bond (1991), Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies, 58, 277-297.
Richard Blundell, Stephen Bond (1998), Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics, 87, 115-143.
Jurgen A. Doornik, Manuel Arellano, and Stephen Bond (2012), Panel data estimation using DPD for Ox, unpublished.
David Roodman (2009), A Note on the Theme of Too Many Instruments, Oxford Bulletin of Economics and Statistics, 71(1), 135-158.
David Roodman (2009), How to do xtabond2: An introduction to difference and system GMM in Stata, The Stata Journal, 9, 86–139.
Frank Windmeijer (2005), A finite sample correction for the variance of linear efficient two-step GMM estimators, Journal of Econometrics, 126, 25-51.