In my text recommendations, I intended to say that Wooldridge is an introductory econometrics book that contains a good coverage of panel data econometrics.  Note the following
  1. Unobserved heterogeneity is fundamental to panel data econometrics.  Standard regression can not account for unobserved heterogeneity and therefore you will have a bias in your estimates. 
  2. The choice of fixed or random effects depends on the existence of correlation between the unobserved effects and the explanatory variables.
  3. There are panel data estimates that are robust with respect to autocorrelation (and heteroskedasticity). There are also panel methods for dynamic models which will not be covered in introductory texts.
  4. Multicollinearity is mainly a data problem.  As far as I know, there are no multicollinearity routines specific to panel data.  This is a separate topic.
  5. I would think of non-normality as indicative of some model specification error.  
A lot of this is covered in chapters 13 and 14 of the Wooldridge introductory text.  If you find this text too mathematical can I suggest that you seek out an econometrician who is willing to collaborate with you?   Otherwise, you need to put considerable effort into upgrading both your mathematics and your econometrics.  There are fora such as StackExchange, Quora, or ResearchGate where you can get help on problems relating to Econometric/statistical/mathematical theory as opposed to the implementation of such items in gretl.  

John C Frain
3 Aranleigh Park


On Wed, 26 Jan 2022 at 15:33, Clive Nicholas <clivelists@googlemail.com> wrote:
*Now* do you see what I mean?

C


On Wed, 26 Jan 2022 at 14:30, Sven Schreiber <svetosch@gmx.net> wrote:
Am 26.01.2022 um 04:20 schrieb 3J LEMA:
Dear Experts,

1. If there is heterogeneity in the panel model/data, is it true that the appropriate model is either the Fixed Effect or Random Effects model? 

2. I want to choose the appropriate panel regression model when there are autocorrelations, heterogeneity, multicollinearity, and non-normality. Any guiding non-highly mathematical materials that you can suggest?

Thank you.

Hi, these questions are generic and not gretl-specific and as such this list is not the best place to ask them. Others have suggested some textbooks, as the questions are also quite fundamental.

cheers

sven

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--
Clive Nicholas

"My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson
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