Stata Panel — Data Exclusive

Mastering Panel Data in Stata: A Guide to "Exclusive" Estimation Techniques

5. Advanced Panel Data Diagnostics & Robust Inference

1. xtset id year → verify structure
2. xtsum, xtdescribe → understand variation
3. Pooled OLS with clustered SE → baseline
4. FE model → time-invariant heterogeneity
5. RE model → efficiency if uncorrelated
6. Hausman test → FE vs. RE
7. Add time FE → two-way FE
8. Test serial correlation → if present, use FE with lag or GMM
9. If lagged DV needed → xtdpdsys

* Use 'ib3.status' to set base to 3 xtreg profit ib3.status, fe

• Make sure your data is in long format: Panel data should be in long format, with each row representing an observation on a panel unit at a particular point in time.
• Use the xt commands: The xt commands are specifically designed for panel data and provide a range of features and options that make it easy to work with panel data.
• Be mindful of time-varying and time-invariant variables: Time-varying variables change over time, while time-invariant variables do not. Make sure to account for this when specifying your model.