Stata Panel Data Fix | Fast |
Ignores panel structure entirely. Useful as a baseline.
variable, the RE estimates suffer from omitted variable bias and are inconsistent. 3. Model Selection: Diagnostics and Testing
xtreg gdp fdi trade gcf, fe
eststo clear eststo: reg ln_wage hours age tenure, vce(cluster idcode) eststo: xtreg ln_wage hours age tenure, fe eststo: xtreg ln_wage hours age tenure, re esttab est1 est2 est3, se star(* 0.10 ** 0.05 *** 0.01) /// mtitles("Pooled OLS" "Fixed Effects" "Random Effects") /// addnotes("Standard errors clustered at individual level") stata panel data
To test for heteroskedasticity in a Fixed Effects model, you can use the modified Wald test via the user-written command xttest3 . To check for serial correlation (autocorrelation), use the Wooldridge test via xtserial .
| Variable | Coef. | Std. Err. | t | P>|t| | |----------|-------|-----------|----|----| | fdi | 0.142 | 0.021 | 6.76 | 0.000 | | trade | 0.009 | 0.003 | 3.12 | 0.002 | | gcf | 0.047 | 0.011 | 4.27 | 0.000 | | _cons | 6.123 | 0.215 | 28.48 | 0.000 |
| Method | Stata Command | Use Case | |--------|--------------|----------| | Dynamic panel (GMM) | xtabond2 (external) | Lagged dependent variable | | Panel IV | xtivreg | Endogenous regressors | | Driscoll-Kraay SEs | xtscc | Cross-sectional dependence | | Panel quantile regression | xtqreg | Heterogeneous effects | | Fixed effects logit | xtlogit, fe | Binary outcome | Ignores panel structure entirely
Pooled OLS ignores the panel structure entirely, treating all observations as independent. regress GDP inflation trade_openness Use code with caution.
Data may arrive in "wide" format (one row per unit, columns for each year). Use reshape long to convert to "long" format, which Stata requires.
Understanding Panel Data Analysis in Stata: A Comprehensive Guide | Variable | Coef
xtreg wage hours tenure, fe xttest3
Once your data is in the long format, use the xtset command to declare the panel structure. This command validates that your time variable is sequential and identifies whether your panel is balanced (all entities have data for all time periods). xtset id year Use code with caution. id : The variable identifying the cross-sectional unit. year : The variable identifying the time period. 2. Exploring and Describing Panel Data
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