Based on few studies on comparison of panel data models and exploring the eveiws and stata help I have come across a tentative flow chart showing the symptoms which will lead to a particular model selection. Since it is a tentative flow chart any suggestions are welcomed.
- Eberhardt, M. and Francis, T. (2010) Productivity Analysis in Global Manufacturing Production, Economics Series Working Papers 515, University of Oxford, Department of Economics
- Eberhardt, M. (2012). Estimating panel time-series models with heterogeneous slopes.The Stata Journal, 12(1), 61-71.
- Gengenbach, C., Palm, F. C., & Urbain, J. P. (2005).Panel cointegration testing in the presence of common factors. METEOR, Maastricht research school of Economics of Technology and Organizations.
- Pesaran, M. H. and Ron, P. S. (1995). Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics, 68(1), 79-113.
- Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), 967-1012.
- Saikkonen, P. (1991) Asymptotically efficient estimation of cointegration regressions. Econometric theory, 7, 1-21
- Swamy, P. A. (1970). Efficient Inference in a Random Coefficient Regression Model. Econometrica, 38(2), 311-323.
- Stata Help Manual
- Eviews Help Manual