Econometrics 3 (Panel data and duration models)



  • Refresher and further study of linear panel data models with large N and fixed T: strong and weak exogeneity, state dependence, properties and specification of correlated random effects models, clustering and quasi maximum likelihood approach.
  • Non-linear panel data models for large N and fixed T: focus on binary choice models (logit, probit), incidental parameters, estimation of parameters of interest (index and average marginal effects), sufficient statistics approach and (quasi) maximum likelihood. 
  • Duration Model: Discrete and continuous time duration models including the analysis of competing risks, mixed proportional hazard rate models and timing of events models.


  • Wooldridge : Econometric Analysis of Cross Section and Panel Data, second edition (mainly chapters 10, 11, 13, 15 and 22).
  • Lancaster (1990): The Econometric Analysis of Transition Data 
  • Cameron and Trivedi (2005): Microeconometrics, Methods and Applications, Chapters 17,18,19.