Distr.
LIMITED
CS/CMI/TOAPE/22
June, 2013
Original: ENGLISH
COMMON MARKET FOR EASTERN
AND SOUTHERN AFRICA
Training on Advanced Panel Data Econometrics for Senior Experts
of Ministries of Finance and Central Banks in COMESA Region
16-27 June, 2013
Central Bank of Egypt
Cairo, Egypt
REPORT ON TRAINING OF ADVANCED PANEL DATA ECONOMETRICS
FOR SENIOR EXPERTS OF MINISTRIES OF FINANCE
AND CENTRAL BANKS IN THE COMESA REGION
2013 (IZ-mkc)
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A. INTRODUCTION
1.
Over the years, researchers have benefited immensely from panel data in exploring
and understanding various economics and financial issues. For example, using
disaggregated data of commercial banks, panel data econometrics has been relied upon
to analyse the bank lending channel of monetary policy.
2.
With a steady increase in the interdependencies among regions, countries and
sectors, panel data econometrics analysis has become central to understand how the
shocks are transmitted across countries and regions. For regional economic integration,
panel modelling is instrumental in underpinning the extent of symmetric or asymmetric of
the shocks across countries, and thereby in the examination of the scope for monetary
integration.
3.
In cognisant of the vital importance of panel data analysis, in particular, for the
COMESA regional integration agenda, the Meeting of the COMESA Committee of
Governors of Central Banks, which was held in Kigali, Rwanda in December 2012,
decided that COMESA Monetary Institute (CMI) should organise training on Panel
econometrics. CMI has, therefore, organised the training from 16-27 June2013 in Cairo,
Egypt
4.
The specific objectives of the training were:
i)
Enhance participants understanding of modelling panel data and
provide hands on training on empirical modelling of panel data;
ii)
Contribute for knowledge sharing and networking between member states on
the designing and using panel data econometrics for implementation of better
informed policies; and
iii)
To enhance effectiveness of the COMESA Monetary Institute in policy making
and policy advise.
5.
The key output of the training is capacity building in panel data modelling and
sharing of knowledge and information among participants
B. ATTENDANCE, OPENING OF THE MEETING, ADOPTION OF THE AGENDA AND
ORGANISATION OF WORK
6.
The meeting was attended by delegates from Central Banks and Ministries of
Burundi, Congo (D.R.), Egypt, Ethiopia, Libya, Madagascar Rwanda, Seychelles Sudan,
Swaziland Uganda, Zambia, and Zimbabwe the list of participants is in Annex I of this
report.
7.
Opening of the Meeting (Agenda item 1)
8.
In his opening address, Mr. Ibrahim A. Zeidy, Director of the COMESA Monetary
Institute welcomed the delegates. He underscored that COMESA region needs growth
enhancing structural transformation that will help achieve the Millennium Development
Goals. In this regard, he said capacity building in Panel Data Econometric Modeling is
crucial to monitor macroeconomic convergence, and to harmonise development policies.
He also said that panel modeling is instrumental in underpinning the extent of symmetry
or asymmetry of shocks across countries and thereby in the examination of the scope of
the integration agenda. Professor Allaa Elshazli, Member of the Board of Central Bank of
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Egypt also made a statement. In his statement he also emphasised the importance of
Panel data modelling for analysing regional integration issues
9.
Agenda and Organisation of Work (Agenda item 2)
10.
The following were the agenda of the training
a)
b)
c)
Opening of the training
Adoption of the agenda and organisation of work
Presentations on the following:
i)
ii)
iii)
iv)
v)
vi)
vii)
viii)
Introduction to panel-data models
Regression analysis of panel data with fixed and random effects
Dynamic model for panel data;
Panel unit roots testing;
Panel cointegration analysis
Special topics on Panel data modelling
Case study on panel data modelling.
Wrap up session
C. ACCOUNT OF PROCEEDINGS
11.
Introduction: Standard panel model specification (agenda item c(i))
12.
Under this agenda item, Dr. Mutoti discussed the concepts behind panel data
models. He explained that Panel data is the pooling of observations on a cross section of
households, countries, firms etc, over several time periods. In his presentation, he
discussed the following:



Benefits and limitations of panel data analysis.
Fixed versus Random Effect Models.
Ordinary Least Square and Instrumental Variable (IV)estimation techniques;
13.
After the presentations practical sessions were carried out on instrument
specifications. The participants also discussed some of the technical issues that reflect
their good understanding of the presentation..
14.
c (ii))
Regression Analysis of Panel Data with Fixed and Random Effects(agenda item
15.
Under this topic the participants carried out practical exercises on Fixed and
Random Effect Models. One way and Two Way Random Effect Models. The participants
also carried out Hypothesis Testing for Fixed and Random Effect Models
16.
Dynamic Model for Panel Data (agenda item c (iii))
17.
In this session Dr. Mutoti explained that since economic relationships exhibit
dynamics, dynamic panel modelling allows dynamic effects to be introduced into the
model. He further explained in detail theoretical reasons for Dynamic Panel Modelling.
Participants also did practical exercises on Dynamic Data Modelling.
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18.
Panel unit Roots Testing ( agenda item c(iv))
19.
In this session Dr. Mutoti explained that many including Engle and Granger
(1987) found that many macroeconomic time series are non stationary and thus contain
a unit root. He pointed out that in recent years, interest has grown in cases, such as sets
of countries, industries or regions, where there are fairly long time series for a large
number of groups. Thus, he explained that, it is necessary to investigate stationarity in
panel data analysis. He discussed tests with Common Unit Root Process and tests with
individual unit root process.
20.
In the practical exercises that followed he provided hands on training on Panel
Unit Root Tests.
21.
Panel Cointegration Analysis (agenda item c (v))
22.
Under this topic, he covered different tests of cointegration. Participants did
practical exercises based on macroeconomic data of 10 COMESA Member countries for
a period from 2000 to 2012 for tests of cointegration in panel analysis. They practised
how to determine the number of integrating vectors; and identify cointegration
relationships in Panel Data Analysis.
23.
Special topics on Panel data modelling ( agenda item (vi))
24.
During this session, participants did practical exercises on forecasting with
Vector Error Correction Models (VECM) using panel data
25.
Case Study on Panel Data Modeling ( agenda item (vii))
26.
During this session a presentation was made on a case study of electricity
demand analysis and forecasting using panel cointegration methods with application to
real world data from the Egyptian economy at the industry level. The theme of the case
study is an active area of research in countries undergoing energy market reforms
towards a more market oriented system with impacts on public finance and monetary
control. The econometric methods used in the presentation are applicable to other areas
of interest to the participants of the COMESA training programme.
27.
The presentations were supplemented by electronic documents that allow the
participants to replicate the econometric analysis.
28.
The participants gained a hand on experience in empirical modelling of
dynamic panel data.
29.
Wrap-up session (Agenda item (d))
30.
The purpose of this session was to get feedback from participants on the
relevance and usefulness of the training. The participants appreciated the training and
fully agreed that it enabled them to: i) enhance their understanding of modelling panel
data and provided hands on training on empirical modelling of panel data; ii) Contributed
for knowledge sharing and networking between member states on the designing and
using panel data econometrics for implementation of better informed policies.
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31.
Further, participants also agreed that they acquired skills to forecast macrovariables in Panel Models. The participants, however, made the following observations in
respect of organization of future such trainings by COMESA:
(i)
(ii)
(iii)
(iv)
(v)
(vi)
The participants felt that the need for further trainings on pooling techniques
of panel data
The training should be conducted regularly by CMI.
Need to create a face book where econometricians interact and exchange
views on thoughts and perspectives on modelling as well as on sharing
country experiences.
The Unit Root Tests, Cointegration and VAR part of the training need a
special attention and intensive exercise, since this is very important in day to
day research activities.
The need for CMI to start publishing research activities of experts in member
countries’ Central Banks in a Journal. In this regard CMI agreed that it will call
for research papers in early 2014 and will organise yearly validation
workshops of the research findings. The research papers will then be
published in CMI Journal.
The participants proposed that the COMESA Monetary Institute should have
yearly programmes on the following:
i)
ii)
Macro-economic Modelling and Forecasting;
Panel Modelling focusing particularly on Dynamic Models,
panel Unit Roots; Cointegration and VAR Models
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COMESA MONETARY INSTITUTE
Training Course on Advanced Panel Econometrics
16-27 JUNE, 2013 CAIRO EGYPT
========================================================
WORK PROGRAMME
Day 1 - ( Sunday June 16, 2013)
09:00 - 09:30
Welcome and opening session
09:30 - 11:00
Review of OLS and Instrumental Variable (IV)
estimation techniques
11:00 - 11:15
Break
11:15 - 12:30
Introduction to Panel Data Models
12:30 - 14:00
Lunch
14:00 - 15:30
One-Way Fixed Effects (FE) Model
15:30 - 16:00
Break
16:00 - 17:00
Practical Session---FE Model
Day 2 - (Monday June 17, 2013)
09:00 - 11:00
Hypothesis Testing-FE model
11:00 - 11:15
Break
11:15 - 12:30
One-way Random Effects (RE)model
12:30 - 14:00
Lunch
14:00 - 15:30
Practical Session---RE Model
15:30 - 16:00
Break
16:00 - 17:00
Fixed Versus Random Effects Model—
Hausman Test
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Day 3 - (Tuesday June 18, 2013)
09:00 - 11:00
Practical Session
11:00 - 11:15
Break
11:15 - 12:30
Two-way FE Model
12:30 - 14:00
Lunch
14:00 - 15:30
Practical Session--Two-way FE
15:30 - 16:00
Break
16:00 - 17:00
Practical Session--Two-way FE
Day 4 - (Wednesday June 19, 2013)
09:00 - 11:00
Two-way RE Model
11:00 - 11:15
Break
11:15 - 12:20
Practical Session, Two-way RE panel
12:30 - 14:00
Lunch
14:00 - 15:30
Test of Hypothesis with panel data
15:30 - 16:00
Break
16:00 - 17:00
Test of Hypothesis with panel data
Day 5 - (Thursday June 20, 2013)
09:00 - 11:00
Test of Hypothesis with panel data
11:00 - 11:15
Break
11:15 - 12:20
Dynamic Panel Models
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12:30 - 14:00
Lunch
14:00 - 15:30
Dynamic Panel Models
15:30 - 16:00
Break
16:00 - 17:00
GMM estimation
Day 6 - (Sunday June 23, 2013)
09:00 - 11:00
Dynamic Panel Models—Practical exercise
11:00 - 11:15
Break
11:15 - 12:20
Dynamic Panel Models—Practical exercise
12:30 - 14:00
Lunch
14:00 - 15:30
Practical Session –Dynamic Panel Models
15:30 - 16:00
Break
16:00 - 17:00
Practical Session –Dynamic Panel Models
Day 7 - (Monday June 24, 2013)
09:00 - 11:00
Non-Stationary Panel Data
11:00 - 11:15
Break
11:15 - 12:30
Panel Unit Roots Tests assuming crosssection independence
12:30 - 14:00
Lunch
14:00 - 15:30
Panel Unit Roots Tests: Practical exercise
15:30 - 16:00
Break
16:00 - 17:00
Panel Unit Roots Tests: Practical exercise
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Day 8 - (Tuesday June 25, 2013)
09:00 - 11:00
Panel Unit Tests Allowing for Cross Section
Dependence
11:00 - 11:15
Break
11:15 - 12:30
12:30 - 14:00
Panel Unit Root Tests, Practical exercise
Lunch
14:00 - 15:30
Panel Cointegration Tests
15:30 - 16:00
Break
16:00 - 17:00
Panel Cointegration Tests
Day 9 - (Wednesday June 26, 2013)
09:00 - 11:00
Panel Cointegration Tests: Practical exercise
11:00 - 11:15
Break
11:15 - 12:20
Panel Cointegration Tests: Practical exercise
12:30 - 14:00
Lunch
14:00 - 15:30
Panel Cointegration Tests: Practical exercise
15:30 - 16:00
Break
16:00 - 17:00
Panel Cointegration Tests: Practical exercise
Day 10 - (Thursday June 27, 2013)
09:00 - 11:00
11:00 - 11:15
Special topics in panel data modeling
Break
11:15 - 12:30
Special topics in panel data modeling
12:30 - 14:00
Lunch
END OF WORKSHOP
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LIST OF PARTICIPANTS/LISTE DES PARTICIPANTS
BURUNDI
Mr. Alexis Nkunzimana, Banque de la République du Burundi, B.P. 705 Bujumbura, Tel.
+257 77 680003, Email : [email protected]
D R CONGO
Mr. Khonde Matsundi, Quantitative Analyst, Central bank of Congo, Tel. +243 990985340,
Email: [email protected]
Mr. Kony Beya Abraham, Quantitative Analyst, Central Bank of Congo, Tel. +243
810449772, Email: [email protected]
EGYPT/ÉGYPTE
Mr. Mohamed Afify Allam, General Manager, Central Bank of Egypt, 54 Gomhoria St., Cairo;
Tel: +201 002 269 712; Email: [email protected], [email protected]
Mr. Yousry Abdelrahman, Central Bank of Egypt, Deputy General Manager, 54 Gomhoria
St.,
Cairo,
Tel:
+20
01001256654,
Email:
[email protected];
[email protected]
Mr. Osama Abdelrahman, Central Bank of Egypt; 54 Gomhoria St., Cairo; Tel. 020 012
27087733,
+20
01007903499;
Email:
[email protected];
[email protected]
Mr. Hamed Mohamed Tawfik Elagamy, Deputy General Manager, Central Bank of Egypt, 54
Gomhoria St. Down Town, Cairo, Tel. +201 111614319, Email: [email protected]
Mr. Hazem El-Sayed Shehata, Deputy Manager, Central Bank of Egypt, Economic Research
Dept. Email:[email protected]
Ms. Yasmine Medhat Sabri, Credit Risk Analyst, Central Bank of Egypt., Email:
[email protected]
Mr. Ahmed Sahloul, Quantitative Risk Analyst, Central Bank of Egypt, Tel. 1677716 1643,
Email: [email protected]
Ms. Rana Magdy Mohamed, Economist Researcher, Central Bank of Egypt, Email:
[email protected]
Mrs. Hadeel Mohamed Bahaa,
[email protected]
Banker
B,
Central
Bank
of
Egypt,
Email:
Ms. Shaimaa Ahmed Abdul Aziem, Banker A, Central Bank of Egypt, Email:
[email protected]
Ms. Sherifa Abdel Razek, Economic Analyst, Central Bank of Egypt, 54 Gomhoria St. Down
Town, Cairo, Tel. +201 222362138, Email: [email protected] or
[email protected]
Mr.
Ahmed
Ramy,
Central
Email:[email protected]
Bank
of
Egypt,
Tel.
01008559373,
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ETHIOPIA
Mr. Befekadu Gashaw, Acting Director, Economic Modelling & Statistical Analyssis
Directorate, National Bank of Ethiopia, P. O. Box 5550, Ethiopia, Tel. +251 11 5175421,
Email: [email protected]
Mr. Belete Hailu Demis, Research Officer, National Bank of Ethiopia, P. O. Box 550, Tel.
+251 11 5175421, Email: [email protected]
LIBYA/LIBYE
Mr. Osama G. Ali Ibrahim, Economist, Central Bank of Libya, Al-Malik Soud Street, P. O.
Box 1103, Tel. +218 92 6893375, Fax. +218 21 4773903, Email: [email protected]
Mr. Mohamed Abdallah Taher, Statistical Researcher, Central Bank of Libya, P. O. Box
1103, Al-Malik Soud Street, Tel. +218 92 6098306, Fax. +218 21 4773903, Email:
[email protected]
MADAGASCAR
Mrs Rabeson Valerie Lanto, Central Bank of Madagascar, Tel : +261 33 1117142 ; Email :
[email protected]
RWANDA
Mr. Valence Kimenyi, Principal Economist, National Bank of Rwanda, P.O Box 531, Kigali,
Tel: +250 785068423; Email: [email protected]
SEYCHELLES
Mr. Dick Labonte, Economist, Ministry of Finance, Seychelles, P. O. Box 313 Liberty House,
Victoria, Seychelles, Tel. +248 2593353/+248 4332092,Email: [email protected]
SUDAN/SOUDAN
Mr. Mustafa Mohamed Abdalla, Central Bank of Sudan, PO Box 313, Khartoum; Tel: +249
918206239; Fax. +249 9183781341,Email: [email protected]
or
[email protected]
Mr. Elhussein Ismail Hussein Badri, Economist, Central Bank of Sudan, P.O. Box 313,
Khartoum, Tel: +249 12719722/+249 187056665, Fax. +249 183781341, Email:
[email protected]/[email protected]
SWAZILAND
Mr. Patrick Ndzinisa, Executive Assistant to the Governor, Central Bank of Swaziland, P.O.
Box 546, Mbabane, Tel: +268 24082204; Fax: +268 24040038, Email:
[email protected]
Ms. Nombuso Philile Dlamini, Economist, Economic Planning & Development, P.O. Box 602,
Mbabane, Tel: +268 2404 3765; Fax: +268 2404 2157, Email: [email protected]
UGANDA/OUGANDA
Dr. Jacob Opolot, Director of Research, Bank of Uganda, P. O. Box 7120, Kampala, Tel.
+256 775 443153, Fax. +256 414 230791, Email: [email protected]
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ZAMBIA
Ms. Brenda Mwanza, Senior Economist, Macroecnomic Analysis, Bank of Zambia, P. O. Box
30080, Tel. +260 211 221722/228888, Fax. +260 211 221722, Email: [email protected]
Mr. Wilson C.K. Phiri, Senior Economist, Balance of Payments, Bank of Zambia, P. O. Box
30080, Tel. +260 211 221722, Fax. +260 211 221711, Email: [email protected]
Mr. Chungu Kapembwa, Researcher – Economics & Finance, Bank of Zambia, P. O. Box
30080, Tel. +260 211 221722, Fax. +260 211 221711, Email: [email protected]
ZIMBABWE
Mr. Jaya Addmore, Economist, Reserve Bank of Zimbabwe, Box 1283, Tel. +263 4 703000;
Email: [email protected]
CONSULTANT
Dr. Noah Mutoti, Assistant Director, Bank of Zambia, Email: [email protected]
COMESA MONETARY INSTITUTE/INSTITUT MONÉTAIRE DU COMESA
Mr. Ibrahim Zeidy, Director, COMESA Monetary Institute, Nairobi; Tel: +254 787 408269;
Email: [email protected]
Mrs. Monica Cherwon, Personal Assistant to Director, CMI, Tel. +254 722 258130, Email:
[email protected]