chapter_1

Panel Econometrics

Lecture 1: Introduction

Prof. Dr. Kai Carstensen

Christian Albrechts University Kiel

Summer Term 2014

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 1 / 14

Reading List

Badi H. Baltagi (2008), Econometric Analysis of Panel Data, Wiley, 4. Edition,

Introduction.

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 2 / 14

Why panel data? (And not pure cross sections or time series?)

Controlling for individual heterogeneity

Using more information, more degrees of freedom

Modeling dynamics

Identifying otherwise non-detectable effects

Avoiding aggregation biases

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 3 / 14

Limitations of panel data

Data collection problems (coverage, collection costs, interview spacing etc.)

Measurement errors (is a general survey problem, i.e., applies also to single cross

sectional surveys)

Selectivity (self-selectivity, nonresponse, attrition)

Micro panels: often short time series dimension

Macro panels: cross-section dependence

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 4 / 14

Types of panel data

Longitudinal data: ‘short panels’

Cross section time series: ‘long panels’

Firm data sets: ‘huge panels’

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 5 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 6 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 7 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 8 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 9 / 14

Types of panel data

Longitudinal data: ‘short panels’

Cross section time series: ‘long panels’

Firm data sets: ‘huge panels’

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 10 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 11 / 14

Types of panel data

Longitudinal data: ‘short panels’

Cross section time series: ‘long panels’

Firm data sets: ‘huge panels’

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 12 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 13 / 14

Types of panel data

Carstensen (CAU Kiel) Panel Econometrics Summer Term 2014 14 / 14