These lecture notes were written for a 2nd-year Ph.D. course in econometrics of
panel data and limited-dependent-variable-models. The primary goal of the course
is to introduce tools necessary to understand and implement empirical studies in
economics focusing on other than time-series issues. The main emphasis of the
course is twofold: (i) to extend regression models in the context of cross-section
and panel data analysis, (ii) to focus on situations where linear regression models
are not appropriate and to study alternative methods. Examples from applied
work will be used to illustrate the discussed methods. Note that the course covers
much of the work of the Nobel prize laureates for 2000.