This will estimate a fixed-effects model of y on x1 and x2 .
// Distribution of fixed effects xtreg y x1, fe predict fe_effect, u histogram fe_effect, normal
However, working with panel data in Stata demands a precise work flow. Below is a comprehensive, step‑by‑step guide that covers the “exclusive” essentials: from the indispensable xtset declaration to static and dynamic models, diagnostic tests, and best practices that will set your analysis apart. stata panel data exclusive
Always inspect the data footprint using xtsum to see whether your variables vary primarily across units (between) or over time (within).
quietly xtreg y x1 x2, fe estimates store fixed quietly xtreg y x1 x2, re estimates store random hausman fixed random Use code with caution. This will estimate a fixed-effects model of y on x1 and x2
Missing observations are common in panel studies. The module xtmispanel (by ssc install xtmispanel ) provides panel‑aware missing data detection, imputation (including within‑panel interpolation), and diagnostics that respect the longitudinal structure.
In macro-panels (e.g., countries or states), shocks to one unit often spill over into neighboring units. Use Pesaran’s CD test to check for this cross-sectional correlation. quietly xtreg y x1 x2 x3, fe xtcsd, pesaran abs Use code with caution. The Ultimate Correction Command Always inspect the data footprint using xtsum to
These commands give you a feel for the variation that drives your later models.
Panel errors are correlated within units. Always use cluster-robust at the unit level.