Stata Panel Data ^hot^ Today

When standard assumptions fail due to endogeneity, heteroskedasticity, or autocorrelation, you must turn to advanced estimators. Two-Way Fixed Effects (Time Fixed Effects)

With these techniques, you can turn your two‑dimensional data into reliable, insightful, and publishable research findings.

Stata will output the panel variable, the time variable, and whether the panel is (all entities have data for all time periods) or unbalanced (some entities have missing time periods). 2. Exploring and Visualizing Panel Data

-test and LM test indicate that a panel model is needed, you must choose between FE and RE using the Hausman test. stata panel data

xtreg ln_wage grade age c.age#c.age ttl_exp, fe

Panel identifiers must be strictly numeric. If your entity variable (e.g., country or company_name ) is stored as a string, use the encode command to generate a numeric counterpart: encode country, gen(country_id) Use code with caution.

If significant serial correlation exists, use robust standard errors ( vce(robust) ) or a model that accounts for it. If your entity variable (e

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In Fixed Effects models, you can test for groupwise heteroskedasticity using a modified Wald test (requires the user-written package xttest3 ).

Once your data is in the long format, you must tell Stata which variables define the entity and time dimensions. You achieve this using the xtset command: xtset id year Use code with caution. To check the pattern

Panel data (longitudinal data) combines cross-sectional and time-series data.

xtsum id year depvar indepvar

If the Hausman test favors Random Effects, you must still check if a panel model is necessary at all, or if simple Pooled OLS suffices. The Breusch-Pagan Lagrange Multiplier (LM) test checks for the presence of panel effects.

A has observations for every unit in every time period; an unbalanced panel has missing data for some unit‑time combinations. Stata works seamlessly with both, but you should be aware that some estimators perform differently. To check the pattern, use:

Stata provides a family of xt commands for describing and summarising panel data.