35M1C7 :Panel Data Analysis of Microeconomic Decisions


Voertaal Engels
Werkvorm: 3 hours per week during the whole semester (Collegerooster)
Tentamenvorm: empirical assignments (30%) and written exam (70%) (Tentamenrooster)
Studielast:6 ECTS credits
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dr. B.M. Siflinger (Coordinator)

prof. dr. A.H.O. van Soest
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K. Zheng MSc

Doel van de cursus (alleen in het Engels beschikbaar)

The aim of the course is to give a broad overview of empirical models used to analyze panel data on individual decisions and outcomes, focusing on life cycle decisions related to savings, portfolio choice, labour supply, retirement, and health.  Moreover, the students will do hands on exercises so that learn how to apply the techniques in their own empirical work.


Inhoud van de cursus (alleen in het Engels beschikbaar)

Economic agents often make similar decisions repeatedly over time, taking account of changes in prices and other factors driving preferences, opportunities, or expected outcomes, and accounting for future consequences of their decisions. Examples concerning individuals or private households are consumption expenditures, savings and portfolio choice (including investments in an own house or a  retirement plan), labour force participation and labour supply decisions, decisions on smoking, drinking and other kinds of health related behaviour, investments in durable goods, etc. Similarly, firms have to decide on hiring and firing, investing in human capital (by training their workers) or physical capital and in research and development, etc.


To analyze how economic agents make these decisions and what the consequences of these decisions are, empirical researchers make more and more use of panel data and the accompanying techniques. Panel data are data in which decisions of many economic agents are observed several times, usually at different points in time. For example, many socio-economic household surveys have data on wealth and household assets for a number of consecutive years, allowing for an analysis of the determinants of decisions to buy life insurances or other specific retirement plans, stocks and bonds, etc. Panel data techniques are also useful for the analysis of economic experiments where the same subjects make a number of consecutive decisions in the same experiment.     


This course presents theory and applications of panel data models, focusing on models that explain decision making by individuals, households, or firms. Students will learn the main econometric models and techniques for estimation, testing and model selection. They will study articles in which these models and techniques are applied to a variety of micro-economic issues. In addition, they will learn how to apply these models and techniques themselves by doing exercises and assignments using STATA. Applications in the literature will be taken from labour economics, economics of consumer behaviour, development economics and health economics.


The exercises and assignments will focus on savings, portfolio choice, pensions, labour force participation and retirement, using household surveys like the HRS (Health and Retirement Study) for the US, SHARE (Survey of Health, Ageing and Retirement) for Europe, and DHS (DNB Household Survey) for the Netherlands.

Aanbevolen literatuur

  1. M. Verbeek, A Guide to Modern Econometrics (4th edition), Wiley, Chichester, (2012).
  2. B. Baltagi, Econometric Analysis of Panel Data (4th edition), Wiley, Chichester, (2008).
  3. M.J. Lee, Panel Data Econometrics, Academic Press, San Diego, (2002).
  4. J.W. Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge MA, (2002).
  5. M. Arellano and B. Honoré, Panel data models: some recent developments, in J. Heckman and E. Leamer (eds.), Handbook of Econometrics Volume 5, pp. 3229-3296, North-Holland, Amsterdam, (2001).

Gewenste voorkennis

Vereiste voorkennis

A solid course in introductory econometrics, such as Econometric Methods (35V5A4) in the Ba programme Econometrics & OR, or Empirical Research in Economics (230255) from the MPhil Economics programme.

Verplicht voor

  • Econometrics and Mathematical Economics: Netspar Specialization ( 2014, 2015, 2016, 2017 )
  • MSc Marketing Research: track Quantitative Marketing Research ( 2014 )

Mogelijk interessant voor

  • MSc Econometrics and Mathematical Economics ( 2014, 2015, 2016, 2017 )
  • MSc Marketing Analytics ( 2015, 2016, 2017 )
  • MSc Marketing Research: track Strategic Marketing Research ( 2014 )
  • MSc Quantitative Finance and Actuarial Science ( 2014, 2015 )
  • MSc Quantitative Finance and Actuarial Science: Netspar Specialization ( 2014, 2015 )
  • Research Master in Business: Marketing ( 2013, 2014, 2015, 2016 )
  • Research Master in Business: Tax Economics ( 2016 )
  • Exchange students TiSEM ( 2015, 2016, 2017 )