Manuel Arellano is Professor at CEMFI in Madrid. He was previously a Visiting Professor of Economics at the University of Cambridge, and Editor of The Review of Economic Studies.

• 1. Introduction ; PART I: STATIC MODELS ; 2. Unobserved Heterogeneity ; 3. Error Components ; 4. Error in Variables ; PART II: DYNAMIC MODELS ; 5. Covariance Structures for Dynamic Error Components ; 6. Autoregressive Models with Individual Effects ; 7. Models with Predetermined Variables