This class will consider state dependence and predetermined variables in the context of discrete choice and other nonlinear models of interest in microeconometrics. Fixed and random effects perspectives will be examined, as well as the choice of population framework and its implications for identification and estimation.
Manuel Arellano is Professor of Econometrics at CEMFI and an international fellow of cemmap. He is Fellow of the Econometric Society and author of Panel Data Econometrics (Oxford University Press: Advanced Texts in Econometrics, 2003).
Panel data are important in economics. Recently there have been advances in understanding of nonlinear panel data methods. This masterclass provides a survey of state-of-the-art methods for nonlinear panel data models and reviews selected applications. The lectures will cover fixed effects and random effects approaches in both static and dynamic setups.