Recent developments in the econometrics of panel data analysis

Abstract

The present paper surveys different issues related to the econometric analysis of panel data. It discusses the controversy over fixed effects vs. random effects models, specification error tests with panel data, the problem of specification of the distribution of initial values in dynamic models, maximum-likelihood estimation of dynamic models, tests for serial correlation with panel data, serial correlation vs. state dependence, multiple equation models with panel data, and errors in variables in panel data. References are also given for certain other miscellaneous problems involving panel data.