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st: Panel data analysis

From   [email protected]
To   [email protected]
Subject   st: Panel data analysis
Date   Tue, 11 Sep 2007 20:23:44 -0400

Dear all,

I try to perform a Panel data analysis for countries and years.

I am curious if there a command routine in stata exists that I could use to test for the right model.

The routine should include all the relevant steps of tests (like in an decision tree) to the end.

For example:

Starting with a regression model:

tsset company time, yearly

reg depvar indepvar

reg depvar indepvar, robust

xtpcse depvar indepvar

Testing for Heteroscedasticity:


bpagan depvar indepvar

xtgls depvar indepvar, panels (heteroscedastic)

matrix list e (Sigma)


Testing for Autocorrelation:




Christian Rosenberger
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