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Title:
Leveraging Stata for Panel Data Analysis: A Methodological Overview with Empirical Applications

Author: [Your Name]
Date: April 12, 2026 stata panel data

References

1. Baltagi, B. H. (2013). Econometric Analysis of Panel Data. Wiley.
2. Cameron, A. C., & Trivedi, P. K. (2010). Microeconometrics Using Stata. Stata Press.
3. StataCorp. (2021). Stata 17 Base Reference Manual. Stata Press.
4. Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data. MIT Press.

6.4 Serial Correlation (Wooldridge Test)

xtserial ln_wage hours age tenure

1. Setting Up Panel Data

Before running any analysis, you must tell Stata which variable identifies the units and which identifies the time. Title: Leveraging Stata for Panel Data Analysis: A

6.1 FE vs. Pooled OLS (F-test)

After FE, Stata reports an F-test that all panel-specific intercepts are zero. Rejecting → FE is preferred. References

Merging Panel Datasets

Merging two panel datasets requires both dimensions:

merge 1:1 id year using another_panel.dta

1:1 because each combination is unique.

Two-way fixed effects (unit + time):

Already achieved with i.year in the FE model.

Common workflows (brief)

1. Data prep: xtset id year; tsreport/xtdescribe; generate lags/leads: by id: gen L1_x = x[_n-1]
2. Baseline: xtreg y x1 x2, fe vce(cluster id)
3. Robustness: xtreg y x1 x2, re; hausman; compare coefficients/SEs
4. Endogeneity: xtivreg y (x1 = z1) x2, fe vce(cluster id)
5. Dynamics: xtabond y L.y x1, robust; check AR(1)/AR(2) and Hansen test

Include time effects:

xtreg wage hours tenure age i.year, re