- Baltagi, Econometric Analysis of Panel Data, 5th Edition, Wiley, 2013.
- Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, MIT Press, 2nd Ed, 2010.
- Greene, Econometric Analysis, 7th Edition, Prentice Hall, 2012.
Book Chapters, Papers, and Handout
- To Pool or Not to Pool: Homogeneous Versus Heterogeneous Estimators Applied to Cigarette Demand.
- Panel Data: Chapter 10 in Brooks, Chris. Introductory econometrics for finance. Cambridge university press, 2014.
- Estimating Dynamic Panel Data Models: A Practical Guide for Macroeconomists
- Panel Data: Chapter 18 in Kennedy, Peter. A guide to Econometrics. MIT press, 2003.
- Saving, Growth, and Investment: A Macroeconomic Analysis Using a Panel of Countries
- Professor Darryl McLeod’s Eviews Panel Econometrics Course, Abuja, Nigeria November 2010
- Professor William Greene’s Class Notes
- Introductory Econometrics for Finance (Video Lectures)
Panel Data in Stata
- STATA Pane Data Reference Manual
EViews Panel And Pooled Data
- Eviews Illustrated
- The following EViews documents are very useful for Panel Data analysis.
- Pooled Time Series and Cross-Section Data
- Advanced Workfiles
- Working with Panel Data
- Panel Estimation
- Panel Cointegration Estimation
- Panel Statistics
Panel Data in R