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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 random-effects) *
  • Poisson regression (gamma random-effects)
  • Negative binomial regression
  • Linear constraints

* Robust standard errors now available

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

  • Logit regression
  • Poisson regression
  • Negative binomial regression

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

Multilevel mixed-effects models

    Regressors correlated with individual-level effects

    • Hausman–Taylor instrumental-variables estimators
    • Amemiya–MaCurdy instrumental-variables estimators

    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

    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

        Factor variables

        • Automatically create indicators based on categorical variables
        • Form interactions among discrete and continuous variables
        • Include polynomial terms
        • Perform contrasts of categories/levels

        Marginal analysis

        • Estimated marginal means
        • Marginal and partial effects
        • Average marginal and partial effects
        • Least-squares means
        • Predictive margins
        • Adjusted predictions, means, and effects
        • 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 13 for more about what was added in Stata 13.

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