Training Calendar

High Dimensional Econometrics and Identification

New Horizons, Computer Learning Centre, New York City, USA 3 days (1st July 2019 - 3rd July 2019) Stata Advanced
Delivered by: Professor Chihwa Kao (University of Connecticut); Professor Long Liu (University of Texas at San Antonio)
Econometrics, Panel Data

Overview

In many applications of econometrics and economics, a large proportion of the questions of interest are identification. An economist may be interested in uncovering the true signal when the data could very noisy such as time-series spurious regression and weak instruments problems, to name a few. In this course, we illustrate the true signal and hence identification can be recovered even with noisy data in high-dimensional data, e.g., large panels. High-dimensional data in econometrics is the rule rather than the exception.

This three-day course will explore five important topics in high-dimensional econometrics: panel spurious regressions, estimation of autocorrelation parameter in a detrended large panel, change point estimation and testing in large panels, weak instrument problem in large panels, and incidental parameters problem in dynamic linear panels. Their estimation methods are described. Several empirical applications will be presented. This course will acquaint the participants with large panels techniques. By the end of the three-day course participants should be able to prepare and define large panel data using Stata, estimate the large panel models, and conduct different testing procedures.

Overview

Day 1

Session 1 & 2: 

  • Large nonstationary panel.
  • Estimation methods
  • Hypothesis tests
  • Practical examples using Stata

Session 3 & 4: 

  • Panel Time Trend Model with Stationary and Nonstationary Error Term
  • Estimation methods
  • Hypothesis tests
  • Practical examples using Stata

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Day 2

Session 1 & 2: 

  • Estimation and Testing of Panel Change Points Models
  • Estimation methods
  • Testing procedures
  • Practical examples using Stata

Session 3 & 4:

  • Weak Instruments in Panel Data Models
  • Estimation methods.
  • Practical examples using Stata

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Day 3

Session 1 & 2: 

  • Incidental Parameters Problem in Panel Data Models (I)
  • Estimation methods
  • Testing procedures
  • Practical examples using Stata

Session 3 & 4: 

  • Incidental Parameters Problem in Panel Data Models (II)
  • Estimation methods
  • Practical examples using Stata

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Learning Ratio

40% theory, 10% demonstration and 50% practical

Daily Timetable

TimeSession / Description
08:45-09:15 Arrival and Registration
09:30-11:00 Session 1
11:00-11:15 Tea/coffee break
11:15-12:45 Session 2
12:45-13:45 Lunch
13:45-15:15 Session 3
15:15-15:30 Tea/coffee break
15:30-17:00 Session 4

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Terms and Conditions

  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course.
  • Payment of course fees required prior to the course start date.
  • Registration closes 1-calendar days prior to the start of the course.

    • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
    • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
    • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.
  •  CommercialAcademicStudent
    1 - 3 July 2019 (01/07/2019 - 03/07/2019)

All prices exclude VAT or local taxes where applicable.

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