Stata Panel Data Exclusive May 2026

Controls for time-invariant unobserved heterogeneity (unit-specific intercepts). Two equivalent estimators:

Within estimator (demeaned):

xtreg y x1 x2, fe

LSDV (least squares dummy variables) – avoid with many units: stata panel data exclusive

reg y x1 x2 i.id i.year

Key options:

xtreg y x1 x2 i.year, fe robust        // cluster-robust SE
xtreg y x1 x2 i.year, fe vce(cluster id) // equivalent
xtreg y x1 x2, fe vce(bootstrap, reps(200)) // alternative

After FE:

estimates store fe
predict u, u      // unit-specific fixed effects (residuals)
predict xb, xb    // linear prediction
xtline xb, overlay // fitted trends by unit

Testing joint significance of FEs:

testparm i.id     // after LSDV regression

Panel data (longitudinal data) combines cross-sectional units observed over time. Stata’s xt suite provides a dedicated, efficient workflow. This text covers all essential steps without extraneous filler. LSDV (least squares dummy variables) – avoid with

xtreg y x1 x2, fe vce(cluster panel_id)

xtreg y x1 x2 i.year, fe

xtserial y x1 x2

xttest3

xtunitroot llc var1

| Mistake | Correct | |---------|---------| | Using reg without clustering | xtreg, fe robust or reg, vce(cluster id) | | Including time-invariant vars in FE | Dropped automatically – use RE or hybrid | | Hausman with non-spherical errors | Use xtoverid after RE | | Ignoring serial correlation | Use xtreg, fe with lagged DV or xtserial | | GMM with too many instruments | Collapse instruments: collapse option in xtabond2 (external) |