xtreg ln_wage tenure age i.race, cre vce(cluster idcode)
xtabond y L.y x1 x2
* Start with pooled OLS (baseline) reg y x1 x2 i.year
By using the fe suffix, Aris was essentially telling Stata to ignore the differences between countries and focus only on what happened within them over time. It was a surgical strike against omitted variable bias. The "fixed" part of the model absorbed the unique, unchanging personality of each nation, leaving only the pure relationship between price and supply. The Great Debate: Hausman’s Shadow
When working with binary, count, or categorical outcomes in a panel structure, specialized non-linear estimators are required. Panel Logit and Probit stata panel data exclusive
Pooled OLS treats every unit-year as an independent observation, ignoring the panel structure entirely. regress income investment leverage Use code with caution.
* setup xtset id year
* FE with time effects and clustered SEs xtreg ln_y x1 x2 i.year, fe vce(cluster id)
Stata allows for clustering at the panel level to adjust for within-group correlation. xtreg ln_wage tenure age i
Every panel data analysis in Stata begins with a single, essential command: xtset . This command tells Stata which variable identifies the cross-sectional units (the panel variable) and which variable tracks time (the time variable).
Once in long format, declare the dataset as a panel using xtset : xtset firm_id year Use code with caution. Understanding the Output
The definitive guide to mastering panel data analysis using Stata requires moving beyond basic commands to leverage exclusive, advanced modeling techniques that unlock deep structural insights from longitudinal datasets. —which tracks the same cross-sectional units (such as individuals, firms, or countries) over multiple time periods—presents unique statistical challenges, primarily due to unobserved heterogeneity and serial correlation.
xtmlogit restaurant age, covariance(unstructured) // RE xtmlogit restaurant age, fe // Conditional FE The Great Debate: Hausman’s Shadow When working with
When you execute xtset , Stata will report three critical attributes:
duplicates report panelvar timevar duplicates list panelvar timevar Use code with caution. 2. The Exclusive Choice: Fixed vs. Random Effects
: Controls for all time-invariant confounding factors, even if they are unobserved or unmeasured. Random Effects (RE)
: "Strongly balanced" means every unit is observed for the exact same time periods. "Unbalanced" means some units have missing time periods. Stata handles unbalanced panels natively for most commands, but it alters your degrees of freedom and sampling properties. 2. Visual Exploration and Summary Statistics
* Install if necessary: ssc install xtcsd xtreg y x1 x2, fe xtcsd, pesaran Use code with caution.
xtserial y x1 x2