This book is number 9 in the series entitled "The International Library of Critical Writings in Econometrics Series".

In this collection, the most influential papers on the econometrics of panel data published in the period from 1992–2001, have been selected. This provides an update on developments in the field since the two volumes edited by G.S. Maddala in 1993, which covered the period from 1966–1992.

Topics covered in these latest volumes include core articles on dynamic panels and the generalized method of moments, heterogeneous panels, non-stationary panels including spurious regression, unit roots and tests for cointegration in panels, limited dependent variable models using panel data including models with censored endogenous variables and sample selection, non-linear panel data models, unbalanced panels, pseudo-panels and specification tests in panels.

45 articles, dating from 1992 to 2002

Volume I
Introduction Badi H. Baltagi

PART I  -  LIMITED DEPENDENT VARIABLES

 1995 Seung C. Ahn & Peter Schmidt ‘Efficient Estimation of Models for Dynamic Panel Data’
1997 Seung C. Ahn & Peter Schmidt ‘Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation’
 1999 César Alonso-Borrego & Manuel Arellano ‘Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data’
1995 Manuel Arellano &Olympia Bover ‘Another Look at the Instrumental Variable Estimation of Error-Components Models’
 1998 Richard Blundell & Stephen Bond ‘Initial Conditions and Moment Restrictions in Dynamic Panel Data Models’
1997 Bruno Crepon, Francis Kramarz & Alain Trognon ‘Parameters of Interest, Nuisance Parameters and Orthogonality Conditions: An Application to Autoregressive Error Component Models’
 1999 Jinyong Hahn ‘How Informative is the Initial Condition in the Dynamic Panel Model with Fixed Effects?’
 1995 Jan F. Kiviet ‘On Bias, Inconsistency, and Efficiency of Various Estimators in Dynamic Panel Data Models’
2001  Tom Wansbeek ‘GMM Estimation in Panel Data Models with Measurement Error’
1997 James P. Ziliak ‘Efficient Estimation with Panel Data when Instruments are Predetermined: An Empirical Comparison of Moment-Condition Estimators’

PART II  - HETEROGENEOUS PANELS

1997 Badi H. Baltagi & James M. Griffin ‘Pooled Estimators vs. their Heterogeneous Counterparts in the Context of Dynamic Demand for Gasoline’
1997 Cheng Hsiao & A. Kamil Tahmiscioglu ‘A Panel Analysis of Liquidity Constraints and Firm Investment’
1997 G.S. Maddala, Robert P. Trost, Hongyi Li & Frederick Joutz ‘Estimation of Short-Run and Long-Run Elasticities of Energy Demand from Panel Data Using Shrinkage Estimators’
1995 M. Hashem Pesaran & Ron Smith ‘Estimating Long-Run Relationships from Dynamic Heterogeneous Panels’

PART III  - NON-STATIONARY PANELS

2000 Kaddour Hadri ‘Testing for Stationarity in Heterogeneous Panel Data’
1999 Richard D.F. Harris & Elias Tzavalis ‘Inference for Unit Roots in Dynamic Panels Where the Time Dimension is Fixed’
1999 Chihwa Kao ‘Spurious Regression and Residual-Based Tests for Cointegration in Panel Data’
1999 G.S. Maddala & Shaowen Wu ‘A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test’
1999  Hyungsik R. Moon & Peter C.B. Phillips ‘Maximum Likelihood Estimation in Panels with Incidental Trends’
2000 Peter Pedroni ‘Fully Modified OLS for Heterogeneous Cointegrated Panels’
1999 M. Hashem Pesaran, Yongcheol Shin, & Ron P. Smith ‘‘Pooled Mean Group Estimation of Dynamic Heterogeneous Panels’
1999 Peter C.B. Phillips & Hyungsik R. Moon ‘Linear Regression Limit Theory for Nonstationary Panel Data’

Volume II
(An introduction by the editor for both volumes appears in Volume I)

PART I  -  LIMITED DEPENDENT VARIABLES

 1992 Bo E. Honoré ‘Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects’
 2000 Bo E. Honoré & Ekaterini Kyriazidou ‘Panel Data Discrete Choice Models with Lagged Dependent Variables’
 1994 Michael P. Keane ‘A Computationally Practical Simulation Estimator for Panel Data’
1997 Ekaterini Kyriazidou ‘‘Estimation of a Panel Data Sample Selection Model’
 1995 Michael Lechner ‘Some Specification Tests for Probit Models Estimated on Panel Data’
1999 Myoung-jae Lee ‘Some Specification Tests for Probit Models Estimated on Panel Data’
 1999 Francis Vella & Marno Verbeek ‘Two-step Estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias’
 1995 Jeffrey M. Wooldridge ‘Selection Corrections for Panel Data Models under Conditional Mean Independence Assumptions’

PART II  -  NON-LINEAR PANEL MODELS

1999 Jason Abrevaya ‘Leapfrog Estimation of a Fixed-Effects Model with Unknown Transformation of the Dependent Variable’
1999 Jeffrey M. Wooldridge ‘Distribution-free Estimation of Some Nonlinear Panel Data Models’

PART III -  UNBALANCED PANELS

2001 Werner Antweiler ‘Nested Random Effects Estimation in Unbalanced Panel Data’
1999 Badi H. Baltagi & Ping X. Wu ‘Unequally Spaced Panel Data Regressions with AR (1) Disturbances’
2001 Badi H. Baltagi, Seuck Heun Song & Byoung Cheol Jung ‘The Unbalanced Nested Error Component Regression Model’
2002  Peter Davis ‘Estimating Multi-way Error Components Models with Unbalanced Data Structures’

PART IV  -  PSEUDO-PANELS

1997 M. Dolores Collado ‘Estimating Dynamic Models from Time Series of Independent Cross-Sections’
2000 Sourafel Girma ‘A Quasi-Differencing Approach to Dynamic Modelling from a Time Series of Independent Cross-Sections’
2001 David J. McKenzie ‘Estimation of AR(1) Models with Unequally Spaced Pseudo-Panels’
1993 Robert Moffitt ‘Identification and Estimation of Dynamic Models with a Time Series of Repeated Cross-Sections’

PART V  -  SPECIFICATION TESTS IN PANELS

1996  Badi H. Baltagi, Javier Hidalgo & Qi Li ‘A Nonparametric Test for Poolability Using Panel Data’
1995 Badi H. Baltagi & Qi Li ‘Testing AR(1) against MA(1) Disturbances in an Error Component Model’
2001 Anil K. Bera, Walter Sosa-Escudero & Mann Yoon ‘Tests for the Error Component Model in the Presence of Local Misspecification’
1998  Q. Li & C. Hsiao ‘Testing Serial Correlation in Semiparametric Panel Data Models’
1996 Gilbert E. Metcalf ‘Specification Testing in Panel Data with Instrumental Variables’