Stata Panel Data

Choosing between Pooled OLS, Fixed Effects, and Random Effects should not be arbitrary. Stata provides formal statistical tests to guide your selection. Pooled OLS vs. Random Effects (Breusch-Pagan LM Test)

Always append vce(cluster id) if your diagnostic tests detect heteroskedasticity or serial correlation.

datasets, use the Difference or System Generalized Method of Moments (GMM) via the xtabond2 package.

xtreg gdp fdi trade gcf, fe xtcd // Requires prior installation: ssc install xtcd stata panel data

Consistently estimates coefficients even if unobserved individual effects are correlated with the independent variables.

) means the RE assumptions are violated. You must use . 5. Diagnostic Checking

To help refine this guide or tailor it to your specific research project, please let me know: Choosing between Pooled OLS, Fixed Effects, and Random

To decide between FE and RE, use the Hausman test. It evaluates whether the unique errors are correlated with the regressors.

| Variable | Coef. | Std. Err. | t | P>|t| | |----------|-------|-----------|----|----| | fdi | 0.098 | 0.018 | 5.44 | 0.000 | | trade | 0.006 | 0.002 | 3.00 | 0.003 | | gcf | 0.031 | 0.009 | 3.44 | 0.001 | | _cons | 6.892 | 0.189 | 36.46 | 0.000 |

(Note: Limiting the plot to a subset of IDs prevents the graph from becoming cluttered and unreadable). 3. Core Panel Data Models in Stata ) means the RE assumptions are violated

xtregar y x1 x2, fe

Note: Fixed effects probit does not exist in standard packages due to the incidental parameter problem; choose xtlogit, fe or xtprobit, re instead. Summary Checklist for Stata Panel Analysis Shape your data into the long format using reshape long . Initialize the panel framework with xtset id time . Decompose variation types via xtsum . Run xtreg, fe and xtreg, re . Execute hausman to decide between Fixed and Random effects.