Panel Data and Factor Model for Social and Economic Research

This event is part of the Specialist Training Series on Machine Learning and Data Science delivered by the South & East Network for Social Sciences Doctoral Training Partnership (SENSS).

SENSS Specialist Training: Panel Data and Factor Model for Social and Economic Research 

Instructor: Prof. Giovanni Urga (Bayes Business School)
Term: Autumn 2025

Module Outline and Aims

There is huge body of literature applying panel data techniques using firm-level, consumer,  stock market and banking data. In this course, we will present most important panel data techniques for stationary and nonstationary panels. We will discuss the importance of modelling heterogeneity and we will discuss static and dynamic models, introducing the crucial distinction between fixed and random effects. The course will also provide a short introduction to both factor models and principal components. Practical applications using economic and financial (stocks, interest rates) and banking (accounting) datasets will be delivered using Stata, which is the most comprehensive econometric software for dealing with panel data analysis.

Prerequisites

Students are expected to have a knowledge of statistics (descriptive and inference) and basic econometrics.

Software

Participants will use Stata19 during the session. Participants are required to be familiar with the software and have it installed .

Content Outline

• Static Panel Data Models
• Dynamic Panel Data Models.
• Nonstationary Panel Data Models.
• Cross-sectional dependence in Panel Data.
• Introduction of factor models

Learning Objectives

1. You will learn how to handle and summarise panel datasets.
2. You will learn a large number of panel data techniques for stationary and nonstationary variables.
3. You will learn how to implement panel data analysis using econometric software.

Main References

A list of relevant papers will be provided at the beginning of the course. The following textbooks are recommended:

• Baltagi, B. H. (2008), Econometric analysis of panel data, Forth Edition, John Wiley & Sons.
• Baltagi, B. H. (2009), A companion to econometric analysis of panel data, John Wiley & Sons.

• Boffelli, S., and G. Urga (2016). Financial Econometrics Using Stata. Stata Press Publication
• Brooks, C., (2019). Introductory Econometrics for Finance, Cambridge University Press, 4th edition.

• Pesaran, M. H. (2015), Time series and panel data econometrics. Oxford University Press.
• Wooldridge, J. (2010), Econometric analysis of cross section and panel data, MIT Press.

Please ensure you meet the prerequisites before registering.

Sign up form: https://essex.eu.qualtrics.com/jfe/form/SV_1KQfEPArrCX6fCm

Please direct enquiries to: trainingmanager@senss-dtp.ac.uk

https://essex.eu.qualtrics.com/jfe/form/SV_1KQfEPArrCX6fCm