In previous number of the journal eight lectures from a course «Introduction to econometric analysis of panel data» has been published. Its have presented a gene­ral information on the panel data, the basic models estimations methods, estimators property and specification tests. Then there were discussed the estimation problems under conditions of heteroskedasticity and autocorrelation of the error term, correlation between some of the explanatory variables and the individual effects and the estimation problems, which take place in dynamic models and models with measurement errors.