The Skills Development Training Programme in Panel Data Econometrics is tailored for academics, practitioners and postgraduate students (Masters and PhD) with limited training in econometrics and quantitative methods. It aims to enhance participants’ proficiency in panel data econometric techniques.
Course Overview:
Participants engage in both theoretical learning and practical application using R and Stata. The programme provide foundational knowledge in panel data econometrics, ensuring that participants can apply these techniques in empirical research.
Assumed Prior Knowledge:
Participants should be comfortable with basic statistical methods, including the calculation of means, standard deviations, and hypothesis testing (t, z, and F tests). A basic understanding of Cross-Sectional and Time-Series Econometrics is recommended. While Stata and R software will be utilised for practical demonstrations, no prior experience with the software is required.
Topics Covered:
- Day 1: Introduction to Panels in R
- Structure, setup, packages (with exercises)
- Visualization and presentation (with exercises)
- Day 2: Introduction to Cross-Section Panel techniques
- Fixed, Random, and Correlated Random effects (with exercises)
- Instrumental variables (with exercises)
- Day 3: Cross-Section Panel techniques and Introduction to Time-Series Panel techniques
- Limited Dependent Variables (including logit, probit, quantile, etc)
- Dynamic panel models
- Day 4: Time-Series Panel techniques
- Heterogeneity in the slope parameters (SUR, Random Coefficient (RC) models, Mean Group, Threshold models)
- Cross-sectional dependence (Common Correlated Effects (CCE) models)
- Day 5: Time-Series Panel techniques
- Panel Time Series (Panel VAR, Nonstationary panels)
Instructors:
Reneé van Eyden is a Professor of Economics at the University of Pretoria and a researcher with academic expertise in developing, presenting, and coordinating courses in economics and econometrics. She has served as secretary of the African Econometric Society and has been appointed to Skills Development Projects for the United Nations (Project LINK), the German Development Agency GIZ, Economic Research Southern Africa, South African Reserve Bank, and Enterprises at UP. Her research experience includes applied macroeconomic analysis, macroeconomic modeling, and development economics, with a special interest in the role of human empowerment and institutional quality in economic development, prosperity, and liberal democracy.
Matthew Clance is an Associate Professor at the University of Pretoria and a Fellow at Pan-African Scientific Council. His background includes applied econometrics and geospatial analysis of micro Big Data and he has worked on various projects related to the Lancet Commission and African Climate Policy Center projects.
