Stata Panel Data -

Panel data (longitudinal data) combine time series and cross-sectional dimensions, allowing researchers to control for unobserved heterogeneity. Stata provides a comprehensive suite of commands for panel data analysis, including xtset, xtreg, xttest3, and xtserial. This paper demonstrates a complete empirical workflow using a replicable example.

After FE with dummies:

testparm i.year

FE is Stata’s superstar. It controls for time-invariant unobservables (e.g., corporate culture, country geography). But: stata panel data

Cool trick: Run xtreg, fe vce(cluster id) as default. Always. Even if you think errors are i.i.d.—they aren’t.

Visualizing trends is crucial before modeling. Panel data (longitudinal data) combine time series and

* Plot a single variable over time for all units (spaghetti plot)
xtline gdp
Once the data is xtset, you can use powerful tools to manage it.
Stata offers post-estimation tools for publication-ready output. FE is Stata’s superstar
Official xtreg, fe fails with multiple fixed effects (e.g., firm+year+industry×year). reghdfe (user-written) absorbs many levels, runs faster, and reports correct degrees of freedom. It has become the silent standard in top field journals.

Pro move: reghdfe y x1 x2, absorb(id year industry#year) vce(cluster id)
xtreg wage hours tenure age i.year, fe