A noted authority on the econometrics of panel data, Prof. Steve Bond of Nuffield College, Oxford University, presented a short course on panel data econometrics to a full house of graduate students and faculty in the last week of March. Bond gave three lectures on static and dynamic panel data models and led participants in a hands-on computer exercise.
Bond and his coauthors developed the widely used dynamic panel data (DPD) models, which have been employed in hundreds of studies in the context of 'large N, small T' datasets: for instance, data on many firms each observed for only a few time periods. The 'Arellano-Bond' estimator (REStud, 1991) and 'Blundell-Bond' estimator (J.Econometrics, 1998) are standard components of many statistical packages, including Stata.
Bond's visit was hosted by Prof. Fabio Schiantarelli, with whom Bond has collaborated on a number of published papers. During his week-long visit to the department, Steve consulted with many graduate students and faculty on aspects of their research, and presented a seminar on "Uncertainty and Capital Accumulation: The Role of Convex Adjustment Costs" in the macroeconomics and financial economics seminar series.
3 April 2010