This course will present the methodology of econometric estimation of panel data model. Topics to be studied include specification, estimation, and inference in the context of models that include individual (firm, person, etc.) effects. We will begin with a development of the standard linear regression model, then extend it to panel data settings involving 'fixed' and 'random' effects. The course will include lectures that develop the relevant theory and extensive practical, laboratory applications. Course participants will apply the techniques on their own computers using the STATA computer program and several real data sets that have been used in applications already in the literature.