Panel Data for Banking Sector Analysts

MA degree in business, economics, or statistics. Or, a BA in economics with training in linear algebra and multivariable calculus.A knowledge and understanding of ordinary least squares, generalized least squares, instrumental variables (using matrix algebra), some asymptotic theory is required to follow the course.

Technical Prerequisite

Participants are required to have the STATA software installed on their own devices.

• Random Effects, Fixed Effects, First Differencing
• Robust Inference and Robust Specification Tests
• Instrumental Variables
• Heterogeneous Trend and Slope Models
• Dynamic Models
• Large-T Panels
• Correlated random effects approaches to panel data
• Unbalanced panels and detecting sample selection problems
• Nonlinear Panel Data Models
• Bank Cost Functions
• Effect of Foreign Ownership on Market Power
• Difference-in-Differences Methods

1. Introduction and Overview of Panel Data Methods
2. The Basic Linear Model and Assumptions
3. The Common Estimators: Pooled OLS (POLS), Random Effects (RE), Fixed Effects (FE), and First Differencing (FD)
4. Comparing POLS with RE and FE. Correlated Random Effects
5. Choosing Between RE and FE
6. Choosing Between FE and FD
7. Combining Fixed Effects and Instrumental Variables (FEIV)
8. Specification Tests for FEIV. Comparison with Random Effects IV (REIV)
9. Combining First Differencing and Instrumental Variables
10. Estimation Under Sequential Exogeneity
11. Heterogenous Trends and Slopes
12. Difference-in-Differences Designs with Panel Data
13. Considerations with Unbalanced Panels
14. Panels with a Relatively Large Number of Time Periods
15. Probit and Logit Models for Binary and Fractional Reponses
16. Exponential Models for Count and Other Nonnegative Outcomes

This course consists in a balanced mix between self-paced material and live online activities. This format will bring to your own devices the course material and interactions with instructors, teaching assistants and other participants.
During the first and the second week in the course, you will be guided in the course material via video lectures and live classes with the course instructor. In addition, you will apply the theory into practice through homework assignments.
The third week of the course will consist in lab sessions, in which the instructor and teaching associate will guide you in practical exercises in STATA, during a set of live online events.
The course format will give ample room to question times and collaboration. You will benefit from close guidance and throughout the whole course, with multiple occasions for individual feedback and interactions with the instructor and teaching assistants.
The course will require 20 hours to be completed

Schedule

17 September: Opening of the course
Access to all course modules

17 September – 4 October: Self-paced progression throughout lectures and homework exercises
(total time required: 12 hours)

21 September (3-4:30 PM CET): Optional: ‘Brush up’ session

4 – 8 October: Live online sessions
(total time required: 8 hours)

24 September (3-5 PM CET):
First live class: recap of modules 1-6

1 October (3-5 PM CET):
Second live class: recap of modules 7-16 + Q&A (3-5 PM CET)

5 October (3-5 PM CET)
Third live class:

• Lab 1
• Office hours (5-6.30 PM)

7 October (3-5 PM CET)
Fourth live class:

• Lab 2
• Office hours (5-6.30 PM)

8 October:
Closing of the course

• Delis, M. D., Kokas, S. and Ongena, S. (2016) Foreign ownership and market power in banking: Evidence from a world sample. Journal of Money, Credit and Banking, 48(2-3), pp. 449-483.
• Pancotto, Livia and ap Gwilym, Owain and Williams, Jonathan (2019) The European Bank Recovery and Resolution Directive: a market assessment. Journal of Financial Stability, 44. 100689. ISSN 1572-3089