Methods Courses

Pol Sci / App Stat 450: Panel Data

This serves as the home page for Applied Statistics and Political Science 450, Topics in Applied Statistics: Panel Data, Spring 2007, Washington University in Saint Louis. This page provides the syllabus, links to articles, and relevant course materials.

Administrative Documents

• The Syllabus [.pdf]

Lectures

After a bit of thought and given the uncertainty of pacing this course, I have decided to simply create one really long .pdf that combines all the slides. Here it is.

Readings

By way of a calendar, the next subject to occupy our attention will be the specification of panel data models. By now, you should be reading Sayrs and the Stimson piece and should give serious consideration to the arguments in Hicks. For more detail and rigour, read Mundlak. In no particular order, we will consider Efficient Estimation of Rarely Changing... and Beck and Katz (1995) at about the same time. On a more casual note, you should read David A. Freedman's piece in the American Statistician in November, the link is provided here. This should take us through the end of February. After treating the standard fixed and random effects models, we will consider the random coefficients models. Once we have dealt with the central issues in big N small T analyses, we will wander over to big T small N and consider dynamic panel data models and revisit our cursory overview of time serial issues. I am still searching for good papers on this that are accessible and thorough.

• Mundlak (1978), On the Pooling of Time-Series and Cross-Section Data
• Arrelano, Manuel (2003), Panel Data Econometrics, Chapters 2,3, and 4
• Beck and Katz (1995), What to do (and not to do) with Time-Series Cross-Section Data
• Beck and Katz (forthcoming), Random Coefficient Models for Time-Series-Cross-Section Data: Monte Carlo Experiments
• Berk, R. A. and D. A. Freedman. Statistical Assumptions as Empirical Commitments
• Green, Kim, and Yoon (2001), Dirty Pool
• Greene, William (2001), Estimating Nonlinear Models with Panel Data
• Hausman (1978), Specification Tests in Econometrics
• Hendry, David. Dynamic Econometrics
• Hicks (1994), Introduction to Pooling
• Hsiao (2003), Analysis of Panel Data, Chapters 3 and 6
• King (2001), Proper Nouns and Methodological Propriety: Pooling Dyads in International Relations Data
• Political Analysis Political Analysis: Special Issue on Time-Series Cross-Sectional Analysis
• Pluemper and Troeger (working paper), Efficient Estimation of Rarely Changing Variables in Fixed Effects Models
• Stimson (1985), Regression in Space and Time: A Statistical Essay
• Wawro (2002), Estimating Dynamic Panel Data Models in Political Science
• Western (1998), Causal Heterogeneity in Comparative Research: A Bayesian Hierarchical Modelling Approach
• Western and Jackman (1994), Bayesian Inference for Comparative Research
• Wooldridge, Jeffrey M. 2006. CLUSTER-SAMPLE METHODS IN APPLIED ECONOMETRICS: AN EXTENDED ANALYSIS. Working Paper: June 2006.

Midterm Examination

Homework Assignments

• Homework 2

Code and Handbooks

• CRAN Task Views
• Yves Croissant, Introduction to plm
• Econometrics in R
• Time Series Vignette
• Generating AR, I, and MA data using R along with some plots and autocorrelation and partial autocorrelation functions.
• Code for generating heteroscedastic data and investigating it with OLS tools.
• Code for generating various forms of panel data.

Data

• hw2.dta
• hw2.RData
• hw2-q3.dta