Panel Time Series

Traditionally economic panels had large number of cross-section units and relatively few time periods and econometric methods were developed for such ‘large N small T ’data. More recently panels with observations for a large numbers of time periods have become available on cross-section units like …rms, industries, regions or countries. These notes explore the econometric methods developed for such ‘large N large T’ data. Such data allow more explicit treatment of (a) heterogeneity across units (b) dynamics, including the treatment of unit roots and cointegration and (c) cross-section dependence arising from spatial interactions or unobserved common factors.