CEMLA Course: Panel Data Econometrics

The objective of this course is to provide tools for the analysis of panel data at the country, firm, bank or household level over various time periods, along with empirical applications of issues relevant to central banking. The course is structured to be developed in five days, including the following topics: the introduction to estimation methods that allow analyzing the relationship between economic variables and serve as a foundation for the subsequent topics to be developed; panel data with individual specific (random and fixed) effects to allow for unobserved time-invariant endogeneity without the use of instrumental variables, which is used, for instance, to identify the key factors contributing to financial stability. It also covers dynamic panel data that allows the modeling of dynamic relationships such as the financial acceleration mechanism that amplifies the effects of monetary policy; cointegration in nonstationary panel data allowing the study of money demand stability across countries by identifying long-run relationships; and the difference in differences that helps analyze the impact of policy changes, financial regulations, or economic events.

The course is aimed at participants who are responsible for the development of empirical models that serve as input for theoretical models and/or the analysis of central banking policy evaluation. The course will be taught by professionals with doctoral specialization in econometrics and with work experience in central banking.