Essays on applied panel data econometrics

by Ioannis Polycarpou

Institution: Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών
Year: 2015
Keywords: Εφαρμοσμένη οικονομετρία; Πάνελ δεδομένα; Υποδείγματα διακριτών πάνελ δεδομένων; Δυναμικά υποδείγματα Πάνελ; Οικονομικά της εργασίας; Διεθνής χρηματοδοτική; Αξιολόγηση πολιτικών; Applied econometrics; Panel data analysis; Discrete choice models; Dynamic panel data; Labour economics; International financial markets; Policy evaluation
Record ID: 1154574
Full text PDF: http://hdl.handle.net/10442/hedi/35426


This thesis examines applications of panel data econometrics methods in three important areas of economics: Labour economics, International finance, and Policy evaluation. Specifically, in the first chapter titled "Intertemporal Analysis of Labour force participation of married women in Germany: A Panel Data Analysis" we use state of the art econometrics to analyze the different aspects of the discrete decision taken by a woman to participate in the labor market (e.g. Hyslop, 1999). Dynamic models in combination with Panel Data from the GSOEP (German Socio Economic Panel) covering a period from 1990-2007, offers the possibility to analyze the relative contributions of individual heterogeneity true state dependence on the probability of participation (Heckman, 1981). Under a large variety of models and identifying assumptions, we conclude that there is a significant causal effect from previous participation to the present participation decision. Moreover, analyzing the effects of fertility on the probability of participation, we find that the presence of small children negatively affects the participation probability (Del Boca and Sauer, 2009). The effects of transitory husband's income is small and insignificant, whereas there is an effect from permanent husband's income.In the second chapter, titled "A Dynamic Gravity model for Bilateral Investment holdings" we examine the geography of international asset trading, and specifically the factors behind a country's decision to hold assets (stocks and bonds) issued in foreign countries. Drawing from the extensive literature on gravity models (e.g. Martin and Rey, 2004), as well as the literature on the effect of the host country's institutional quality (Papaioannou, 2009), we study a dynamic discrete choice model for country pairs where a country decides in repeated time periods to hold assets issued in another country. We use panel data covering the period 2001-2007 from the IMF's Coordinated Portfolio Investment Survey (CPIS), on 54 source and 94 host countries. We find that previous decision to hold investment in a country's assets positively affects the probability of investing today. Moreover, the host country's institutional quality and financial development also plays an important role in attracting foreign capital.In the third chapter titled "Neighborhood effects in education: The case of the Athens Olympic Village" we conduct a thoroughly unique research in its kind. Taking advantage of the unique conditions of the social experiment that took place with the move of families to the newly founded olympic village in 2006, after a lottery procedure, we evaluate the effects of the move to the students's educational attainment. The random way in which the students were selected to move to the Olympic Village through the lottery, allows the circumvention of the self-selection of neighborhoods problem, and permits endogeneity-free estimation of neighborhood effects. Panel data allow us to follow through the students' performance before and after the move to the new…