A (somewhat dated) list of countries and country codes for the 
Penn World Tables.

Countries:

    * Africa
        AGO Angola
        BEN Benin
        BWA Botswana
        BFA Burkina Faso
        BDI Burundi
        CMR Cameroon
        TCD Chad
        COM Comoros
        COG Congo
        DJI Djibouti
        EGY Egypt
        ETH Ethiopia
        GAB Gabon
        GMB Gambia
        GHA Ghana
        GIN Guinea
        CIV Ivory Coast
        KEN Kenya
        LSO Lesotho
        LBR Liberia
        MDG Madagascar
        MWI Malawi
        MLI Mali
        MRT Mauritania
        MUS Mauritius
        MAR Morocco
        MOZ Mozambique
        NAM Namibia
        NER Niger
        NGA Nigeria
        REU Reunion
        RWA Rwanda
        SEN Senegal
        SYC Seychelles
        SLE Sierra Leone
        SOM Somalia
        ZAF South Africa
        SDN Sudan
        SWZ Swaziland
        TZA Tanzania
        TGO Togo
        TUN Tunisia
        UGA Uganda
        ZAR Zaire
        ZMB Zambia
        ZWE Zimbabwe 

    * North and Central America
        BHS Bahamas
        BRB Barbados
        BLZ Belize
        CAN Canada
        CRI Costa Rica
        DMA Dominica
        DOM Dominican Rep.
        SLV El Salvador
        GRD Grenada
        GTM Guatemala
        HTI Haiti
        HND Honduras
        JAM Jamaica
        MEX Mexico
        NIC Nicaragua
        PAN Panama
        PRI Puerto Rico
        KNA Saint Kitts & Nevis
        LCA Saint Lucia
        VCT Saint Vincent & Grenadines
        TTO Trinidad & Tobago
        USA United States of America 

    * South America
        ARG Argentina
        BOL Bolivia
        BRA Brazil
        CHL Chile
        COL Colombia
        ECU Ecuador
        GUY Guyana
        PRY Paraguay
        PER Peru
        SUR Suriname
        URY Uruguay
        VEN Venezuela 

    * Asia
        BHR Bahrain
        BGD Bangladesh
        BTN Bhutan
        CHN China
        HKG Hong Kong
        IND India
        IDN Indonesia
        IRN Iran
        IRQ Iraq
        ISR Israel
        JPN Japan
        JOR Jordan
        KOR Korea, Rep. (South)
        KWT Kuwait
        LAO Laos
        MYS Malaysia
        MNG Mongolia
        MMR Myanmar
        NPL Nepal
        OMN Oman
        PAK Pakistan
        PHL Philippines
        QAT Qatar
        SAU Saudi Arabia
        SGP Singapore
        LKA Sri Lanka
        SYR Syria
        TWN Taiwan
        THA Thailand
        ARE United Arab E.
        YEM Yemen 

    * Europe
        AUT Austria
        BEL Belgium
        BGR Bulgaria
        CYP Cyprus
        CSK Czechoslovakia
        DNK Denmark
        FIN Finland
        FRA France
        GER Germany
        GRC Greece
        HUN Hungary
        ISL Iceland
        IRL Ireland
        ITA Italy
        LUX Luxembourg
        MLT Malta
        NLD Netherlands
        NOR Norway
        POL Poland
        PRT Portugal
        ROM Romania
        RUS Russia
        ESP Spain
        SWE Sweden
        CHE Switzerland
        TUR Turkey
        YUG Yugoslavia
        GBR United Kingdom 

    * Australia
        AUS Australia
        FJI Fiji
        NZL New Zealand
        TON Tonga
        VUT Vanuatu
        WSM Western Samoa