Panel Data Book

People ask me for advice about what to read to learn about various kinds of data analysis.  Here’s my recommendation for panel data :

Wooldridge, Jeffrey M.  2001.  Econometric Analysis of Cross Section and Panel Data.  MIT Press.

It was not an easy read for me.  But, it has really good coverage and is done very well.  Wooldridge also has an excellent basic econometrics book.

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