Econometria II

Caracterização geral

Pré-requisitos

A disponibilizar brevemente

Bibliografia

Arellano, M (2003) Panel Data Econometrics, Oxford University Press.
Arellano, M. and O. Bover (1995): Another Look at the Instrumental Variable Estimation of Error Components Models, Journal of Econometrics 68, 29-51.
Bai, J. (2003) Inferential Theory for Factor Models of Large Dimensions,
Econometrica 71(1) 135-172.
 
Bai, J. (2009) Panel Data models with interactive fixed effects, Econometrica 77(4) 1229-1279.
Bai, J & Ng, S (2002) Determining the number of factors in approximate factor models, Econometrica 70, 191-221.
Bai, J & Ng, S (2004) A PANIC attack on unit roots and cointegration, Econometrica
72(4) 1127-1178.
Baldwin, R.E. and D. Taglioni (2006): Gravity for Dummies and Dummies for Gravity Equations, NBER Working Paper 12516.
Baltagi, B.H. (2008) Econometric Analysis of Panel Data, 4th edition New  York: Wiley.
Baltagi B H, G Bresson & A Pirotte (2003) Fixed effects, random effects or Hausman- Taylor? A pre-test estimator, Economics Letters 79 p361-369.
Bernanke, B.S. J. Boivin & P. Eliasz (2005) Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) approach, Quarterly Journal of Economics 387-422.
Bick, A., Kremer, S., Nautz, D. (2013) Inflation and Growth: New Evidence From a Dynamic Panel Threshold Analysis. Empirical Economics 44: 861-878.
Binder, M., C. Hsiao & M.H. Pesaran (2005) Estimation and Inference in Short Panel Vector Autoregression with Unit Roots and Cointegration, Econometric Theory  21 (4) 795-837.
Blundell, R. and S. Bond (1998): Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics 87, 115-143.
Breitung J. & S. Das (2008) Testing for unit roots in panels with a factor structure,
Econometric Theory 24, p88-106.
Bruno, G.S.F. (2005) Approximating the Bias of the LSDV estimator for dynamic unbalanced panel data models, Economics Letters 87, 361-366.
Bun, M.J.G. & M.A. Caree (2006) Bias-corrected estimation in dynamic panel data models with heteroskedasticity, Economics Letters 92, p220-227.
Bussiere, M. A. Chudik & A. Mehl (2011) Does the Euro make a difference: spatio- temporal transmission of global shocks to real effective exchange rates in an infinite VAR, ECB working paper 1292.
Chudik, A. M.H. Pesaran & E Tosetti (2011) Weak and strong cross- section dependence and estimation of large panels, Econometrics Journal 14, C45-C90.
Dang, V.A., M. Kim and Y. Shin (2014): In search of robust methods for dynamic  panel data models in empirical corporate finance, mimeo. University of York.
Favero, C.A. M. Marcellini & F. Neglia (2005) Principal Components at Work: The empirical analysis of monetary policy with large data sets, Journal of Applied Econometrics 20, 603-620.
Fedderke, J., Y. Shin and P. Vaze (2012) Trade, Technology and Wage Inequality in the South African Manufacturing. Oxford Bulletin of Economics and Statistics 74:
 
808-830.
Hall S, S Lavarova & G Urga (1999) A principal components analysis of common stochastic trends in heterogeneous panel data: some Monte Carlo Evidence, Oxford Bulletin of Economics and Statistics 61, 749-767.
Harris, R.D.F. & E. Tzavalis (1999a) Inference for Unit Roots in Dynamic Panels Where the Time Dimension is fixed, Journal of Econometrics 91, 201-226.
Hsiao, C. (2003) Analysis of Panel Data, 2/e, Cambridge: Cambridge University Press. Im, K.S., M.H. Pesaran & Y. Shin (2003) Testing for unit roots in heterogenous panels,
Journal of Econometrics 115, 53-74.
Kapetanios, G. (2007) Dynamic Factor Extraction of Cross-sectional Dependence in panel unit root tests, Journal of Applied Econometrics 22, p313-338.
Lagana G. & A. Mountford (2005) Measuring Monetary Policy in the UK: A Factor- Augmented Vector Autoregression Model Approach, Manchester School Supplement, 77-98.
Mitchell, J., K. Mouratis & M.Weale (2005) An assessment of factor based economic indicators: a comparison of factor and regression based preliminary estimates of euro-area GDP growth, NIESR.
Nickell, S. (1981) Biases in Dynamic Models with Fixed Effects, Econometrica 49, 1417-1426.
Onatski, Alexei (2009) Testing hypotheses about the number of factors in large factor models, Econometrica 77(5), 1447-1479.
Pesaran, M.H. (2006) Estimation and Inference in Large Heterogeneous Panels with a multifactor error structure, Econometrica 74(4) 967-1012.
Pesaran, M.H. (2013) Testing Weak Cross-Sectional Dependence in Large Panels, Cambridge Working Paper 1208.
Pesaran, M.H., Y. Shin & R.P. Smith (1999) Pooled Mean Group Estimation of Dynamic Heterogenous Panels, Journal of the American Statistical Association 94, 621-634.
Pesaran, M.H. & R.P. Smith (1995) Estimating Long-run relationships from Dynamic Heterogenous Panels, Journal of Econometrics 68, 79-113.
Robertson, D. & J. Symons (1992) Some Strange Properties of Panel Data Estimators,
Journal of Applied Econometrics 7, 175-89.
Serlenga, L. and Y. Shin (2013): "The Euro Effect on Intra-EU Trade: Evidence from the Cross Sectionally Dependent Panel Gravity Models," mimeo. University of York.
Smith R.P & A. Fuertes (2012) Panel Time-Series. cemmap course

Método de ensino

Embora as palestras cubram o material principal, é importante que os alunos complementem o tempo de sala de aula com preparação pré-aula, através de um estudo independente. A leitura de antecedentes é fortemente recomendada.

Método de avaliação

Os alunos serão avaliados numa das atribuições (40%) e um exame final (60%).

Conteúdo

Estimativa dos modelos de dados de painéis lineares
Ensaios de especificação para modelos de dados de painel
Estimativa de modelos de dados de painéis autocorrelacionados
Estimativa de variáveis instrumentais e modelos Hausman-Taylor
Modelos de dados de painel dinâmico
Painel VAR (se o tempo permitir)

Cursos

Cursos onde a unidade curricular é leccionada: