1. Econometric Analysis of Panel Data
Introduction
Panel Data Definition
Unbalanced Panel
Balanced Panel:
Short Panel:
Long Panel:
Panel Data Analysis
Unobserved Heterogeneity
Cross Section and Time Series Correlation
Using Stata (stata_intro)

2. Introduction Panel Data Panel Data Analysis
Definition (Wikipedia Encyclopedia)
Examples of Panel Datasets
Panel Study of Income Dynamics (PSID)
Penn World Table (PWT)
Panel Data Analysis
A Primer for Panel Data Analysis (Yaffee)

3. Using Stata Declare Panel Data and Variables
xtset (or tsset)
xttab
Panel Data Analysis: xt commands
xtdes
xtsum
xtdata
xtline
Panel Data Regression
xtreg

4. Using Stata Hypothesis Testing Advanced Topics xthausman xttest0
xtregar
xthtaylor (Hausman-Taylor Estimator)
xtivreg (Instrumental Variables Estimation)
xtabond (Arellano-Bond Estimator)

5. Example: Investment Demand
Grunfeld and Griliches [1960]
i = 10 firms: GM, CH, GE, WE, US, AF, DM, GY, UN, IBM; t = 20 years:
Iit = Gross investment
Fit = Market value
Cit = Value of the stock of plant and equipment

6. Example: International Comparison of Economic Growth
R. Summers and A. Heston, "The Penn World Table (Mark 5): An Expanded Set of International Comparisons, ," Quarterly Journal of Economics 106, 1991,
G. Mankiw, D. Romer, and D. Weil, "A Contribution to the Empirics of Economic Growth,“ Quarterly Journal of Economics 107, 1992,

7. Example: International Comparison of Economic Growth
yit = Real per capita GDP
si = Average saving rate (over )
ni = Average population growth rate (over )
g+d = 5%
COMi = 1 if communist, 0 otherwise
OPECi =1 if OPEC, 0 otherwise

8. Example: Returns to Schooling
Cornwell and Rupert Data, 595 Individuals, 7 Years
These data were analyzed in Cornwell, C. and Rupert, P., "Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variable Estimators," Journal of Applied Econometrics, 3, 1988, pp  See Baltagi, page 122 for further analysis.  

9. Example: Returns to Schooling
LWAGE = log of wage = dependent variable in regressions
EXP = work experience WKS = weeks worked OCC = occupation, 1 if blue collar, IND = 1 if manufacturing industry SOUTH = 1 if resides in south SMSA = 1 if resides in a city (SMSA) MS = 1 if married FEM = 1 if female UNION = 1 if wage set by union contract ED = years of education BLK = 1 if individual is black

10. Example: Wage Equation
Koop and Tobias [2004]
The data is available in two parts:
Part 1: Time-Variant Data (17,919 obs.)
id= Person id (ranging from 1 to 2178)
ed = Education
lwage = Log of hourly wage
pexp = Potential experience
trend = Time trend

11. Example: Wage Equation
Part 2: Time-Invariant Data (2178 individuals)
ability = Time invariant ability
medu = Mother’s education
fedu= Father’s education
d = Dummy variable for residence in a broken home
siblings = Number of siblings.

12. Example: U. S. Productivity
Munnell [1988] Productivity Data 48 Continental U.S. States, 17 Years:
STATE = State name,
ST ABB=State abbreviation,
YR =Year, 1970, ,1986,
PCAP =Public capital,
HWY =Highway capital,
WATER =Water utility capital,
UTIL =Utility capital,
PC =Private capital,
GSP =Gross state product,
EMP =Employment,