Darryl Mcleod

Fordham Department of Economics

Econometrics of Panel Data

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Texts

  1. Baltagi, Econometric Analysis of Panel Data, 5th Edition, Wiley, 2013.
  2. Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, MIT Press, 2nd Ed, 2010.
  3. Greene, Econometric Analysis, 7th Edition, Prentice Hall, 2012.

Book Chapters, Papers, and Handout

  1. To Pool or Not to Pool: Homogeneous Versus Heterogeneous Estimators Applied to Cigarette Demand.
  2. Panel Data: Chapter 10 in Brooks, Chris. Introductory econometrics for finance. Cambridge university press, 2014.
  3. Estimating Dynamic Panel Data Models: A Practical Guide for Macroeconomists
  4. Panel Data: Chapter 18 in Kennedy, Peter. A guide to Econometrics. MIT press, 2003.
  5. Saving, Growth, and Investment: A Macroeconomic Analysis Using a Panel of Countries

General Sources

  1. Professor Darryl McLeod’s Eviews Panel Econometrics Course, Abuja, Nigeria November 2010
  2. Professor William Greene’s Class Notes 
  3. Introductory Econometrics for Finance (Video Lectures)

Panel Data in Stata

  1. STATA Pane Data Reference Manual

EViews Panel And Pooled Data

  1. Eviews Illustrated
  2. The following EViews documents are very useful for Panel Data analysis.
    1. Pooled Time Series and Cross-Section Data
    2. Advanced Workfiles
    3. Working with Panel Data
    4. Panel Estimation
    5. Panel Cointegration Estimation
    6. Panel Statistics

Panel Data in R

  1. R’s Econometrics library
  2. R’s most commonly used Panel Data Packages:
    1. gmm
    2. plm
    3. tseries
    4. zoo