The course of lectures is devoted to one of the most claimed modern tools of the quantitative analysis of the statistical information in economy – to panel data analysis which represent the pooling of observations on a cross-section of households, countries, firms etc. over several time periods.

The panel data are applied in empirical researches of economic phenomena since 60th years of XX century. Their use gives a number of essential advantages in regression parameters estimation as they combine opportunities, both time series and cross-section analysis. With the help of the panel data there is possible a studying of such chronic problems of a society, as poverty, unemployment, criminality, and also consequences of carrying out of various state social and economic and political programs.

In the course a panel data analysis foundation and principles of construction of the most claimed models are considered. One of lectures is devoted to the analysis and interpretation of the models constructed on real Russian panel data – RLMS (Russia Longitudinal Monitoring Survey).

In this release four first lectures of the course are published. In the first of them general information about panel data is presented: sources of the panel data and some features of their use. In the second lecture there are given a representation of simplest models of the panel data analysis and some most wide used estimation methods. The third lecture is devoted to discussion of estimator’s properties and specification tests. In the fourth lecture discussion of specification tests proceeds and an example of the practical application of the stated methods to RLMS data analysis is considered.