Professor Frank Windmeijer from the Institute for Fiscal Studies London will present the latest estimation techniques for data in dynamic panels. The Arellano-Bond and Blundell-Bond estimators will be given special focus.
The course will start by reviewing traditional estimation techniques for panel data: fixed and random effects, instrumental variables and even the generalized method of moments. The course will then continue with the presentation of the Arellano-Bond and Blundell-Bond estimators. The course will also include inference in finite samples and empirical estimation by maximum likelihood.

The course includes a theoretical part, where the most recent estimation techniques will be discussed, and a practical part, which will allow participants to implement these techniques in real data on their computers. The computer program used will be STATA (version 8.0) but no prior knowledge of the program is required. It is only assumed that the participants have knowledge of econometrics at the level of introduction to microeconometrics.