* 1. Run Fixed Effects and store results xtreg y x1 x2 x3, fe estimates store fixed_eff * 2. Run Random Effects and store results xtreg y x1 x2 x3, re estimates store random_eff * 3. Run the Hausman test hausman fixed_eff random_eff Use code with caution. Use Fixed Effects. Fail to reject H0cap H sub 0 ): Use Random Effects. The Mundlak Approach: An Elegant Alternative
* Estimate a dynamic panel model xtdpd y L.y x1 x2, lags(1) maxlags(2)
Static models assume no lagged dependent variable. The three workhorses are , fixed effects (FE) , and random effects (RE) . The core estimation command is xtreg . stata panel data exclusive
The two primary methods for analyzing panel data in Stata are Fixed Effects (FE) and Random Effects (RE). Panel Data Analysis Fixed and Random Effects using Stata
(traditional):
Document your analytical process in a clean Do-file to guarantee computational reproducibility.
Random effects (if Hausman/Mundlak favors efficiency) xtreg y x1 x2, re Run the Hausman test hausman fixed_eff random_eff Use
Crucially, Stata's CRE implementation works for , thanks to Wooldridge's extension of Mundlak's original result.
| Issue | Test | Stata Command | |----------------------|------------------------------------|--------------------------------------------------| | Groupwise heteroskedasticity | Modified Wald test | xttest3 (after xtreg, fe ) | | Serial correlation | Wooldridge test | xtserial (after xtreg ) | | Cross‑sectional dependence | Pesaran CD test | xtcd (from ssc install xtcd ) | The Mundlak Approach: An Elegant Alternative * Estimate
xtreg y x, re vce(cluster id) estat mundlak