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Longitudinal data/panel data

Linear fixed- and random-effects models

  • Linear model with panel-level effects and i.i.d. errors
  • Linear model with panel-level effects and AR(1) errors
  • GLS and ML estimators
  • Robust and cluster–robust standard errors
  • Multiple imputation

Random-effects regression for binary, ordinal, and count-dependent variables

  • Probit *
  • Logistic regression *
  • Complementary log-log regression *
  • Ordered logistic regression *
  • Ordered probit regression *
  • Multinomial logistic regression *
  • Interval regression
  • Tobit
  • Poisson regression (Gaussian or gamma random-effects) * Updated
  • Negative binomial regression

*Robust standard errors

Conditional fixed-effects regression for binary and count-dependent variables

  • Logit regression
  • Poisson regression
  • Negative binomial regression

Random-effects parametric survival models New

  • Weibull, exponential, lognormal, loglogistic, or gamma models
  • Robust and cluster–robust standard errors

Two-stage least-squares panel-data estimators

  • Between-2SLS estimator
  • Within-2SLS estimator
  • Balestra–Varadharajan–Krishnakumar G2SLS estimator
  • Baltagi EC2SLS estimator
  • All with balanced or exogenously balanced panels
  • Robust and cluster–robust standard errors New

Multilevel mixed-effects models Updated

    Regressors correlated with individual-level effects

    • Hausman–Taylor instrumental-variables estimators
    • Amemiya–MaCurdy instrumental-variables estimators
    • Robust and cluster–robust standard errors New

    Panel-corrected standard errors (PCSE) for linear cross-sectional models

      Swamy’s random-coefficients regression

        Stochastic frontier models

        • Time-invariant model
        • Time-varying decay model
        • Battese–Coelli parameterization of time effects
        • Estimates of technical efficiency and inefficiency

        Specification tests

        Panel-data unit-root tests

        • Im–Pesaran–Shin
        • Levin–Lin–Chu
        • Hadri
        • Breitung
        • Fisher-type (combining p-values)
        • Harris–Tzavalis

        Summary statistics and tabulations

        • Statistics within and between panels
        • Pattern of panel participation

        Panel-data line plots

        • Graphs by panel
        • Overlaid panels

        GEE estimation of generalized linear models (GLMs)

        Linear dynamic panel-data estimators

        • Arellano–Bond estimator
        • Arellano–Bover/Blundell–Bond system
        • Opening, closing, and embedded gaps
        • Serially correlated disturbances
        • Complete control over instrument list
        • Predetermined variables
        • Tests for autocorrelation and of overidentifying restrictions

        Population-averaged regression

        • Complementary log-log regression
        • Logit regression
        • Negative binomial regression
        • Poisson regression
        • Probit regression
        • Linear models regression

        Postestimation Selector New

        • View and run all postestimation features for your command
        • Automatically updated as estimation commands are run

        Factor variables

        • Automatically create indicators based on categorical variables
        • Form interactions among discrete and continuous variables
        • Include polynomial terms
        • Perform contrasts of categories/levels
        Watch Introduction to Factor Variables in Stata tutorials

        Marginal analysis

        • Estimated marginal means
        • Marginal and partial effects
        • Average marginal and partial effects
        • Least-squares means
        • Predictive margins
        • Adjusted predictions, means, and effects
        • Works with multiple outcomes simultaneously New
        • Contrasts of margins
        • Pairwise comparisons of margins
        • Profile plots
        • Graphs of margins and marginal effects
        Watch Introduction to margins in Stata tutorials
        Watch Profile plots and interaction plots in Stata tutorials

        Additional resources

        See tests, predictions, and effects.

        Watch a video overview of longitudinal and panel-data estimators and features added in Stata 13.

        See New in Stata 14 for more about what was added in Stata 14.

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