What’s new in statistics (longitudinal data/panel data)

Here is a complete list of what’s new with Stata’s xt command suite:

• New command xtunitroot performs the Levin–Lin–Chu, Harris–Tzavalis, Breitung, Im–Pesaran–Shin, Fisher-type, and Hadri Lagrange multiplier tests for unit roots on panel data.
• Concerning existing estimation command xtmixed:
  
  
  • xtmixed now allows modeling of the residual-error structure of the linear mixed models. Five structures are available: independent, exchangeable, autoregressive (AR), moving average (MA), and unstructured. Use new option residuals(). Within residuals(), you may also specify suboption by(varname) to obtain heteroskedastic versions of the above structures. For example, specifying residuals(independent, by(sex)) will estimate distinct residual variances for both males and females.
  • xtmixed has new options matlog and matsqrt, which specify the matrix square root and matrix logarithm variance-component parameterizations, respectively. Previously, xtmixed supported the matrix logarithm parameterization only. Now xtmixed supports both parameterizations, and the default has changed to matsqrt. Previous default behavior is preserved under version control.
  • xtmixed now supports time-series operators.
• predict after xtmixed now allows new option reses for obtaining standard errors of predicted random effects (best linear unbiased predictions).
• Concerning existing estimation command xtreg:
  
  
  • Specifying xtreg, re vce(robust) now means the same as xtreg, re vce(cluster panelvar). The new interpretation is robust to a broader class of deviations. The old interpretation is available under version control.
  • Similarly, specifying xtreg, fe vce(robust) now means the same as xtreg, fe vce(cluster panelvar) in light of the new results by Stock and Watson (2008).
  • xtreg now allows the in range qualifier.
• All xt estimation commands now allow Stata’s new factor-variable varlist notation, with the exception of commands xtabond, xtdpd, xtdpdsys, and xthtaylor. Also, estimation commands allow the standard set of factor-variable–related reporting options.
• New postestimation command margins is available after all xt estimation commands. Click here for more information.
• Concerning existing estimation commands xtmelogit and xtmepoisson:
  
  
  • They have new option matsqrt, which allows you to explicitly specify the default matrix square-root parameterization.
  • They now support time-series operators.
• As of Stata 10.1, existing estimation commands xtmixed, xtmelogit, and xtmepoisson require that random-effects specifications contain an explicit level variable (or _all) followed by a colon. Previously, if these were omitted, a level specification of _all: was assumed, leading to confusion when only the colon was omitted. To avoid this confusion, omitting the colon now produces an error, with previous behavior preserved under control.
• Existing command xttab now returns the matrix of results in r(results) and the number of panels in r(n).

Reference

Stock, J. H., and M. W. Watson. 2008.

Heteroskedasticity-robust standard errors for fixed effects panel data regression. Econometrica 76: 155–174.

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