Microeconometrics: Panel Data

Universität Basel, Spring 2023
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
• Generalized Method of Moments: 4up, 1up
• Panel Data II - Dynamic Models: 4up, 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).

Data:

• Marius Brülhart, Jonathan Gruber, Matthias Krapf, and Kurt Schmidheiny (2021), "Behavioral Responses to Wealth Taxes: Evidence from Switzerland", American Economic Journal: Economic Policy 14 (4), 111-50, Mimeo October 2021.
  Data: Stata 14, Stata 11, csv, variables.

Problem Sets:

• Problem Set 1: 2up, 1up. Discussed Mar 14 and 21, 2023.
  Code: Stata do-file, R script, formatted result table.
• Problem Set 2: 2up, 1up. Discussed Mar 28, 2023.
  Code: Stata do-file, R script.
• Problem Set 3: 2up, 1up. Discussed Apr 4, 2023.
  Code: Stata do-file, Stata output, R script, calculation of trend for the FD-estimator.
• Problem Set 4: 2up, 1up. Discussed April 11, 2023.
  Code and output: Stata do-file, Stata output, R script, Figure for 1b), Figure for 1c).
• Problem Set 5: 2up, 1up. Discussed April 18, 2023.
  Code and output: Stata do-file, Stata output, R script.
• Problem Set 6: 2up, 1up. Discussed May 2 and May 9, 2023.
• Problem Set 7: 2up, 1up. Discussed May 23 and May 30, 2023.
  Data: Stata, article by Acemoglu et al. (2005), article by Bobba and Coviello (2007).
  Code and output: Stata do-file, Stata output, R script.

Exam:

• Exam preview.