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Unobserved Effects Panel Data
John C Frain
21st February 2005
Contents
1 Introduction
2 Estimation using xtreg
3 Testing after xtreg
4 Prediction after xtreg
5 Faster estimation of alternative models using xtdata
6 More general error structures
1 Introduction
Panel data or cross- sectional timeseries are observations on a panel of i units or cases over t time periods. Most panel data commands start with xt For an overview type help xt. These notes present the annotated log of a STATA session demonstrating the use of many of these commands. The data sets used are those used in the STATA cross- sectional time series reference manual. This note should be regarded as an introduction to that manual and to the STATA on- line help files which give comprehensive descriptions of the facilities in STATA for cross- sectional time series analysis. To obtain the optimumbenefit fromthese notes I would recommend that one should work through the STATA session with a copy of Wooldridge available for reference. The emphasis here is on the implementation of the methods described in Chapter 10 of Wooldridge and no attempt is made to explain the theory set out there. Note the di erent fonts used for comments ( this font), instructions in comments ( help xt) and
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