Microeconometrics: Panel Data

Universität Basel, Spring 2025
Master in Wirtschaftswissenschaften, Phd in Business and Economics (GSBE)
Prof. Kurt Schmidheiny

General Information:

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

Lecture Notes:

• Panel Data I - Fixed and Random Effects: 4up, 1up
• Panel Data II - Dynamic Models (not covered in 2025): 4up, 1up
• Panel Data III - Dynamic Effects: 4up, 1up
• Elements of Matrix Algebra: 2up, 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, 38(5), 695-713.
  > 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.
• Alwyn Young (2019), Channeling Fisher: Randomization Tests and the Statistical Insignificance of Seemingly Significant Experimental Results, The Quarterly Journal of Economics, 134(2).
• Uri Simonsohn on Data Colada, Oct 13, 2021.
• Cément de Chaisemartin and Xavier D’Haultfœuille (2020), Advances in Difference-in-differences Methods for Policy Evaluation Research, American Economic Review, 110(9), 2964–2996.
• Guangy Wang, Rita Hamad and Justin S. White (2024), Estimating dynamic treatment effects in event studies with heterogeneous treatment effects, Epidemiology, 35(5), 628–637.
• Liyang Sun and Sarah Abraham (2021), Estimating dynamic treatment effects in event studies with heterogeneous treatment effects, Journal of Econometrics, 225, 175–199.
• Brantly Callaway and Pedro H.C. Sant’Anna (2021), Difference-in-Differences with multiple time periods, Journal of Econometrics, 225, 200–230.

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 Feb 25, 2025.
  Code: R script, formatted result table.
• Problem Set 2: 2up, 1up. Discussed Mar 4, 2025.
  Code: R script.
• Problem Set 3: 2up, 1up. Discussed Mar 18, 2025.
  Code: R script, calculation of time trend in question 2.
• Problem Set 4: 2up, 1up. Discussed Mar 25, 2025.
  Code: R script.
• Problem Set 5: 2up, 1up. Discussed April 29, 2025.
  Code: R script.
• Problem Set 6: 2up, 1up. Discussed May 6, 2025.
  Code: R script.
• Problem Set 7: 2up, 1up. Discussed May 20, 2025.
  Code: R script.
• Problem Set 8: 2up, 1up. Discussed May 27, 2025.
  Code: R script.