Stata Panel Data Exclusive ((link))
Performing panel data analysis in Stata requires a structured workflow, from data declaration to model selection and post-estimation testing 1. Panel Data Setup
Random Effects (xtreg, re)
Random Effects assumes that individual-specific effects are uncorrelated with the regressors. stata panel data exclusive
Identify the panel structure xtset id year Performing panel data analysis in Stata requires a
13. Common pitfalls and how to avoid them
- Ignoring serial correlation → understate SEs; cluster by id.
- Using RE when α_i correlated with x → biased coefficients.
- Overfitting with too many instruments in GMM → weak Hansen test; use collapse and restrict instrument lags.
- Interpreting FE coefficients as total effects when time-invariant confounders matter — FE controls only for time-invariant confounders.
- Including lagged dependent variable with FE and small T → Nickell bias; use system GMM if necessary.
- Using year dummies improperly: center time effects and be careful with perfect collinearity (absorb intercept).
- Misusing two-way clustering without correct tools; reghdfe supports multi-way clustering via vce(cluster id time) in recent versions or via user-written methods.
Master the "Stata Panel Data Exclusive": Pro Techniques for High-Impact Analysis Strict exogeneity: E(ε_it | x_i1,