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2024/2025  KAN-CMECV1702U  Cross Section and Panel Econometrics

English Title
Cross Section and Panel Econometrics


Sprog Dansk
Kursets ECTS 7,5 ECTS
Type Valgfag
Niveau Kandidat
Varighed Et semester
Starttidspunkt Efterår
Tidspunkt Skemaet bliver offentliggjort på calendar.cbs.dk
Min. antal deltagere 30
Max. antal deltagere 80
MEC Studienævnet for HA/cand.merc. i erhvervsøkonomi og matematik, MSc
  • Ralf Andreas Wilke - Økonomisk Institut (ECON)
Primære fagområder
  • Matematik/Mathematics
  • Statistik og kvantitative metoder/Statistics and quantitative methods
  • Økonomi/Economics
  • Tilstedeværelsesundervisning
Sidst opdateret den 25-01-2024

Relevante links

  • Detect situations in which the ordinary least squares estimator is not adequate and be able to explain why.
  • Understand econometric methods of estimation and inference for cross section data and panel data.
  • Understand proofs and derivations in matrix notation.
  • Choosing an econometric model, form those introduced in the course, and explaining why it is the suitable model for the specific situation
  • Interpret estimation results in R/STATA output correctly and comment on appropriateness of their presentation.
  • Relate R/STATA code and R/STATA output to the econometric models introduced in the course
  • Competence in R or STATA to do econometric analysis with the introduced models of the course.
Forudsætninger for at deltage i kurset
The course has a high technical level. Students are expected to have knowledge of the statistical properties of ordinary least squares estimation and maximum likelihood estimation, as well as hypotheses tests about parameters in regression analysis.
Knowledge of matrix algebra, fundamentals of probability and mathematical statistics are required.
Basic knowledge of either R or STATA.
Cross Section and Panel Econometrics:
Prøvens ECTS 7,5
Prøveform Skriftligt produkt udarbejdet hjemme
Individuel eller gruppeprøve Individuel prøve
Omfang af skriftligt produkt Max. 10 sider
The main textbody must not exceed 10 pages and should contain main result tables and figures which are required for the understanding of the main text. References and appendices with additional material (additional results or figures, code or proofs/derivations) do not count for the page limit but should not be too excessive.
Opgavetype Projektrapport
Udlevering af opgave Opgaven formuleres af de studerende selv, se evt. guidelines
Varighed Skriftligt produkt afleveres på en fastsat dato og tidspunkt.
Bedømmelsesform 7-trins-skala
Bedømmer(e) En eksaminator
Eksamensperiode Vinter
Samme prøveform som ved ordinær prøve
Kursets indhold, forløb og pædagogik

Topics in Cross Section Econometrics:

We consider various violations of common model assumptions (such as Gauss-Markov assumptions), including heteroskedasticity, auto/serial correlation, omitted variables, functional form misspecification, measurement error and simultaneity. We see how this can be tested for and what solutions exist (e.g. robust inference statistics, (F)GLS, IV/2SLS methods). We then consider crafting and estimation of a system of equations including simultaneous equations and seemingly unrelated regression by 2SLS/3SLS and GMM.


Topics in Panel Models:

We start with the main static linear panel models: Pooled OLS, FE,RE,FD. We then combine common static linear panel models with IV methods (FD-IV, FE-IV and RE- IV, Hausman-Taylor type models). We consider dynamic panel models (Anderson-Hsiao/ System 2SLS, Arrelano-Bond/ GMM) before we move to nonlinear panel models (binary dependent variable only). Here we extend ML estimation to cope with dependent observations (using Kullback-Leibler Information criterion) and consider methods to correct estimated standard errors and statistics. The final point will be to consider panel attrition/unbalanced panels, if time permits.


The econometric theory is illustrated with data examples throughout the course. Sample code for R and Stata is provided and students can choose whether they work with R or Stata.

Beskrivelse af undervisningsformer
The course comprises of 25 hours of lectures and 8 hours of computer classes. The first computer class is an introductory class. The following classes cover problem sets with mainly empirical questions to practice the work on the computer and interpretation of results. There are also theoretical questions to deepen the understanding of the derivation of statistical properties of estimators and the role of model assumptions.
Feedback i undervisningen
1) Office hours.
2) Computer classes: students are encouraged to present their solutions to problem sets to receive formative feedback.
Lectures 33 timer
Preparation 87 timer
Project 86 timer
Foreløbig litteratur


Lecture notes.
Selected scientific articles to be specified during the course.

Further recommended readings, revision material and articles will be posted on Canvas.


Wooldridge (MIT, 2010) "Econometric Analysis of Cross Section and Panel Data"

Cameron and Trivedi (Cambridge, 2005) "Microeconometrics".


Croissant and Millo (Wiley, 2018) "Panel Data Econometrics with R".

Sidst opdateret den 25-01-2024