Panel Data Econometrics: theory and applications
Bertinoro, 4-10 September 2025
Coordinator
Maria Elena Bontempi
University of Bologna, Department of Economics, Piazza Scaravilli 2, 40126 Bologna
e-mail: mariaelena.bontempi@unibo.it
website: https://sites.google.com/site/mariaelenabontempi/home
Lecturers
Maria Elena Bontempi, University of Bologna
Roberto Golinelli, University of Bologna
Irene Mammi, University of Venezia Ca' Foscari
The course will be delivered in presence and online. The maximum number of allowed participants in presence is 50.
Requirements
Basic knowledge of econometrics to a level comparable with the Introductory Econometrics SIDE course.
Examples of reference are represented by:
** Verbeek M. (2017), A guide to Modern Econometrics, 5th ed, Wiley, Ch. 1, 2, 3, 4, 5, 6 or
** Wooldridge J. M. (2020), Introductory Econometrics, a Modern Approach, 7th ed., Cengage, Ch. 1-6, 8-9, 15
Reference textbooks for the course:
**Wooldridge J. M (2010), Econometric Analysis of Cross-Section and Panel Data, 2nd ed, Cambridge Mass.: MIT Press, Ch. 10- and 11 (panel), Ch. 7 (SUR)
**Handouts, readings and further material will be provided during the lectures.
Course outline, objectives and learning outcomes
Nowadays panel datasets, intended as both time-series cross-sectional data (CSTS) and multilevel data with observations at higher- and lower-levels, permeate the empirical research on many topics, going from classical economics towards behavioral and political economy. The aim of the course is to provide an overview, both methodological and applied, of econometric models for panel data, where observations are available at least at two dimensions. During the course, to ease the comprehension and to introduce important topics, N will indicate individuals (cross-sections) and T will denote temporal periods (time-series). The first part of the course relates to micro panel data (where N is larger than T). After introducing the classical fixed and random effects models with emphasis to their pros and cons, we will discuss about endogeneity of explanatory variables, intended both as correlation with individual heterogeneity (the heterogeneity bias) and as correlation with idiosyncratic shocks (due to simultaneity, measurement errors, dynamics). The instrumental variables estimator, such as the Generalized Method of Moments (GMM), is at the core of this part. The second part of the course relates to macro panel data (where T is larger than N). The main issues will be non-stationarity and cointegration, analysed and discussed in the light of parameters’ heterogeneity and cross correlated effects. At each step of the course, the methodologies will be accompanied by hands-on empirical applications with an econometric software. At the end of the course, participants will be able to critically evaluate the empirical literature based on panel data, and to model and estimate their own issue of interest, according to the problems at hand: static versus dynamic approaches, heterogeneity and clustering, exogeneity versus endogeneity of covariates, GMM, unit roots and long/short run relationships.
Schedule of the course:
0) Crash course: OLS, GLS, IV, heteroskedasticity, the introduction of dynamics and the role of unit roots into the empirical models’ specification.
(1) Static panels. Understanding the data structure and the role of unobserved heterogeneity. The decomposition of the total variability at two or more levels, and the heterogeneity bias. Methods: fixed, random, and correlated effects. Guided hands-on session on the topics.
(2) Dynamic panels. Understanding endogeneity. Instrumental variables (IV) in panel data models, and the problem of overfitting and weak instruments. Methods: alternative data transformations; first-differences and IV, GMM-DIF, -LEV, -SYS estimators, the principal components analysis applied to the set of instruments. Guided hands-on session on the topics.
(3) Heterogeneous panels. ARDL specification and Pesaran’s poolability. Methods: Mean-Group (MG) and Pooled-MG estimators; demeaning and cross-correlated effects. Guided hands-on session on the topics.
(4) Non-stationary panels. Integration and cointegration. Methods: first- and second-generation unit roots tests; Pedroni and Westerlund cointegration tests; PANIC and PANICCA. Guided hands-on session on the topics.
Hands-on Sessions
The theoretical lectures are combined with working sessions, during which you will receive datasets and program files to implement empirical analyses, which will be carried out in Stata. Although we will provide tips and assistance to new users of Stata, it should be emphasized that the course is not on Stata, but on panel data econometrics. So Stata is just a tool, like any other econometric package that can handle panel data.
Software
To be able to act interactively with the lecturers during the lectures, we strongly recommend that participants have Stata preinstalled on their laptops (any version of Stata from 12 onward is fine). At Bertinoro, we do not and cannot provide software installation and license files.
Evaluation
The certificate of attendance with indication of CFUs will be based on a final "take-home in Bertinoro" exam, to be taken in the hours free from class. The assignment will contain an empirical exercise, covering the issues addressed in the lectures, to be done using the econometric software and your understanding of the theoretical issues taught. Group work is strongly encouraged to foster exchange of views, but each of you should bring a contribution, and group assignments should contain a list of participants (up to a maximum of 5) with identification of each person's contribution. Online students should make arrangements via chat in case they intend to work in groups
Venue and timetables
Each Module requires a full-time attendance and participation is not compatible with other jobs at the same time (e.g. preparation of other exams). The Module will last one week and will be held in the University Residential Centre, Via Frangipane 6, 47032 Bertinoro (FC). Participants will be hosted in the Centre guest quarters, (as an exception, in case of reduced availability of rooms in the Centre, they will be accommodated in local hotels).
Lectures will be in English, with the following schedule:
** Friday 5 to Tuesday 9: lectures from 9am to 1pm and 3pm to 5pm
** Daily individual practice sessions: 5pm to 7pm
** Wednesday 10: lectures from 9am to 1pm
Contacts
- For more information: Roberta Partisani phone: +39 0543446554 ; e-mail: info@side-iea.it
- For administrative issues : Fabrizio Zanotti (admin@side-iea.it), phone:0543446561;
- For travel and accommodation: Roberta Partisani (rpartisani@ceub.it), phone: +39 0543446554