Stata | Panel Data

Before modeling, explore your panel structure.

xtdescribe

When you run xtreg, fe , Stata automatically prints an F-test at the bottom of the output window ( F test that all u_i=0 ). stata panel data

Allows the inclusion of time-invariant variables.

Before running any panel data regressions, you must declare your dataset as a panel. This requires two variables: a unique identifier for the cross-sectional unit (entity) and a time-series variable. The xtset Command Before modeling, explore your panel structure

To choose objectively between a Fixed Effects and a Random Effects model, researchers utilize the Hausman specification test. The null hypothesis states that the Random Effects estimator is safe and efficient.

┌──────────────────────────────┐ │ Which Model to Choose? │ └──────────────┬───────────────┘ │ [ F-Test / Breusch-Pagan ] │ ┌────────────────────┴────────────────────┐ ▼ ▼ Reject Null Fail to Reject (Panel Effects Exist) (No Panel Effects) │ │ [ Hausman Test ] ▼ │ Pooled OLS ┌─────┴─────────────────────┐ ▼ ▼ Systematic Difference? No Systematic Difference? │ │ ▼ ▼ Fixed Effects Random Effects Step 1: Pooled OLS vs. Fixed Effects (F-Test) Before running any panel data regressions, you must

Before running any analysis, you must tell Stata which variable identifies the entity (panel ID) and which identifies the time. use http://stata-press.com xtset idcode year Use code with caution. Copied to clipboard Why it matters: This enables Stata’s suite of commands and allows for the use of Time-Series Operators (lagged GNP) or (the first difference of unemployment). 2. The Big Two: Fixed vs. Random Effects