Teaching advanced topics in econometrics using introductory textbooks: The case of dynamic panel data methods

Markus Fritsch, Andrew Adrian Yu Pua and Joachim Schnurbus

International Review of Economics Education, 2024, vol. 47, issue C

Abstract: We show how to use the introductory econometrics textbook by Stock and Watson (2019) as a starting point for teaching and studying dynamic panel data methods. The materials are intended for undergraduate students taking their second econometrics course, undergraduate students in seminar-type courses, independent study courses, capstone, or thesis projects, and beginning graduate students in a research methods course. First, we distill the methodological core necessary to understand dynamic panel data methods. Second, we design an empirical and a theoretical case study to highlight the capabilities, downsides, and hazards of the method. The empirical case study is based on the cigarette demand example in Stock and Watson (2019) and illustrates that economic and methodological issues are interrelated. The theoretical case study shows how to evaluate current empirical practices from a theoretical standpoint. We designed both case studies to boost students’ confidence in working with technical material and to provide instructors with more opportunities to let students develop econometric thinking and to actively communicate with applied economists. Although we focus on Stock and Watson (2019) and the statistical software R, we also show how to modify the material for use with another introductory textbook by Wooldridge (2020) and Stata, and highlight some possible further pathways for instructors and students to reuse and extend our materials.

Keywords: Teaching econometrics; instrumental variables; linear dynamic panel data methods; cigarette demand; lagged variables (search for similar items in EconPapers)
JEL-codes: A20 A22 A23 C10 C23 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ireced:v:47:y:2024:i:c:s147738802400015x

DOI: 10.1016/j.iree.2024.100297

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