1 Introduction

2 The One-way Error Component Regression Model

3 The Two-way Error Component Regression Model

4 Test of Hypotheses with Panel Data

5 Heteroskedasticity and Serial Correlation in the Error Component Model

6 Seemingly Unrelated Regressions with Error Components

7 Simultaneous Equations with Error Components

8 Dynamic Panel Data Models

9 Unbalanced Panel Data Models

10 Special Topics

11 Limited Dependent Variables and Panel Data

12 Nonstationary Panels