Panel data errors are almost always serially correlated and heteroskedastic. Stata offers:
Pooled OLS ignores the panel structure entirely, treating all observations as independent. regress GDP inflation trade_openness Use code with caution.
If explanatory variables are correlated with the error term, Instrumental Variables (IV) approaches are needed, such as xtivreg . Summary of Key Commands Set Panel Data xtset panelvar timevar Summary Statistics xtsum varlist Fixed Effects xtreg depvar indepvars, fe Random Effects xtreg depvar indepvars, re Hausman Test hausman fe_model re_model Robust FE Model xtreg depvar indepvars, fe vce(cluster id) stata panel data
Every panel dataset requires two key variables:
A highly effective method to survey panel trajectories is plotting line graphs for individual units: xtline gdp Use code with caution. 2. Core Panel Data Models in Stata Panel data errors are almost always serially correlated
This article is your complete roadmap to mastering workflows—from importing and reshaping data to running fixed effects, random effects, and dynamic panel models.
To help guide our next steps, I have generated some context-specific follow-up options below. If explanatory variables are correlated with the error
Serial correlation skews standard errors, making your coefficients look more statistically significant than they actually are. Use the Wooldridge test for autocorrelation (requires xtserial ). ssc install xtserial xtserial GDP inflation trade_openness Use code with caution.
Panel data, also known as longitudinal data, tracks the same cross-sectional units (such as individuals, firms, or countries) over multiple time periods. Analyzing panel data in Stata allows researchers to control for unobserved individual heterogeneity and model dynamic relationships.
Introduction to longitudinal-data/panel-data manual. 1. xt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .