Stata Panel Data //top\\ Jun 2026

Models reg ln_wage hours age tenure, vce(cluster idcode) estimates store ols

Simulated data for illustration (replace with real data from World Bank or IMF). Variables:

FD is FE’s cousin, but in Stata, reg d.y d.x (manual first-differencing) gives different standard errors than xtreg, fd due to how Stata handles time gaps. For T=2, FD=FE. For T>2, FD is less efficient if errors are serially uncorrelated. But if errors follow a random walk, FD beats FE. Most Stata users never check. stata panel data

After declaring the panel, Stata will remember this structure. If you've previously set the data for time-series using tsset , xtset will recognize it.

xtabond wage experience union, lags(1) maxldep(2) Models reg ln_wage hours age tenure, vce(cluster idcode)

No two observations should share the same combination of panel ID and time ID. This uniqueness is the bedrock of panel data.

The single most important step in Stata panel data analysis is declaring your data structure using . This command tells Stata which variable identifies the panels and which identifies the time dimension. For T>2, FD is less efficient if errors

Controlling for year-specific shocks:

Alternatively, using areg or reghdfe (for high-dimensional FE):

Before Sam could do anything, he had to tell Stata that his data was special. He used the command: xtset id year This told Stata that was the person and

New Stata commands like hdidregress (for synthetic DiD) and xthdidregress (for panel data with staggered adoption) are game-changers. But they require Stata 18. Most users are still on 17, so they default to old diff .