Please recommend some books on panel data analysis for time series at master level. Also, sound lecture notes would be helpful.
I don't have any knowledge about this topic, I'm a beginner.
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Your question is strange. Usually we say there's three kinds of analysis: time series, cross-sectional and panel. You probably mean *longitudinal analysis*. – Aksakal Oct 15 '15 at 20:28
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See this thread http://stats.stackexchange.com/questions/4612/good-econometrics-textbooks. I have no experience with the book myself but people seem to recommend Wooldridge, Jeffrey M. Econometric Analysis of Cross Section and Panel Data – mgilbert Oct 15 '15 at 20:28
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maybe OP has a particular focus in mind on panel data models where the asymptotics tend to be with respect to $T$ rather than $n$, so a situation with relatively few but long time series in a panel data set? – Christoph Hanck Oct 16 '15 at 03:45
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1The book by Wooldridge does not discuss nonstationary panel data and is probably not fitting this question. – Plissken Oct 16 '15 at 07:34
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I am guessing OP is referring to nonstationary panel data analysis which is seen in macroeconometrics. A similar question which was on the difference between time series analysis and panel data has been discussed here earlier.
To my knowledge there is no single text book on nonstationary panel data although some text books include a chapter on nonstationary panel data analysis and there are some edited volumes dedicated to the subject. Finally there are some articles surveying the litterature on nonstationary panel data. Essentially you want to be familiar with panel data and the time series litterature on unit roots and cointegration.
For text books discussing nonstationary panels, see: "Econometric Analysis of Panel Data" by Baltagi. Chapter 13 discusses nonstationary panels. Then there is “Introduction to Modern Time Series Analysis” by Kirchgässner, Wolters and Hassler. You'll need the 2013 version as some of the previous ones do not feature the chapter on nonstationary panel data. There is also “Unit Roots Cointegration Structural Change” by Maddala and Kim. I would start with the two first ones though.
For a survey in the form of an article see “Unit roots and cointegration in panels” by Breitung and Pesaran. The working paper version can be found here.
For edited volumes see: Advances in Econometrics Vol. 15, "Nonstationary Panels, Panel Cointegration, and Dynamic Panels"
Lastly there are quite some journal articles I have left out. The reason being that I would start with the survey and textbook to get an overview of the field. After that you know where to go.
