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When the standard static models are insufficient, Stata offers several advanced techniques.
The core choice in panel econometrics is selecting between Fixed Effects (FE) and Random Effects (RE).
Drops all time-invariant variables (e.g., gender, race, country of origin). Random Effects (RE)
* Estimate FE and store results xtreg y x1 x2, fe estimates store fe
* Im-Pesaran-Shin test for panel stationarity xtunitroot ips gdp Use code with caution. Summary Checklist for a Flawless Panel Data Workflow
If your diagnostics reveal heteroskedasticity, serial correlation, or mild cross-sectional dependence, adjust your standard errors by clustering at the entity level. xtreg y x1 x2 x3, fe vce(cluster company_id) Use code with caution. 4. Advanced Panel Estimators
The traditional hausman command fails if your model violates the assumption of homoscedasticity. To execute a cluster-robust Hausman test, you must use an auxiliary regression approach via the user-written command xtoverid (installable via ssc install xtoverid ).
gen L1_x = L.x gen F1_x = F.x gen D_x = D.x // first difference
Stata provides an integrated suite of second-generation panel unit root tests via the xtunitroot command.
When the standard static models are insufficient, Stata offers several advanced techniques.
The core choice in panel econometrics is selecting between Fixed Effects (FE) and Random Effects (RE).
Drops all time-invariant variables (e.g., gender, race, country of origin). Random Effects (RE)
* Estimate FE and store results xtreg y x1 x2, fe estimates store fe
* Im-Pesaran-Shin test for panel stationarity xtunitroot ips gdp Use code with caution. Summary Checklist for a Flawless Panel Data Workflow
If your diagnostics reveal heteroskedasticity, serial correlation, or mild cross-sectional dependence, adjust your standard errors by clustering at the entity level. xtreg y x1 x2 x3, fe vce(cluster company_id) Use code with caution. 4. Advanced Panel Estimators
The traditional hausman command fails if your model violates the assumption of homoscedasticity. To execute a cluster-robust Hausman test, you must use an auxiliary regression approach via the user-written command xtoverid (installable via ssc install xtoverid ).
gen L1_x = L.x gen F1_x = F.x gen D_x = D.x // first difference
Stata provides an integrated suite of second-generation panel unit root tests via the xtunitroot command.