The purpose of this paper is to review the major advantages and limitations of panel data in the context of specific econometric methodologies. In section 2 we give an overview of the major advantages of the informational content of panel data. In Section 3 we review typical procedures for specification and inference in various types of models. In Section 4 we use some examples to illustrate how specific assumptions can be made to the advantage to exploit the richness and the unique properties of panel data. Some final remarks are in Section 5. The topics to be discussed are obviously incomplete and the problems are treated only in broad outlines. What we hope to provide, however, is a summary of the main strands of thought in the literature leading up to the recent advancements.