Stata Panel Data May 2026
xtserial wage experience union Random effects assumes the unobserved panel effects are uncorrelated with your regressors. This is a strong assumption but allows inclusion of time-invariant variables.
Here, country_id is the panel variable, and year is the time variable. The single most important step in Stata panel data analysis is declaring your data structure using xtset . This command tells Stata which variable identifies the panels and which identifies the time dimension. Basic Syntax xtset panelvar timevar For our example: stata panel data
xtreg wage experience union i.year, fe Already done above via i.year . This removes time trends common to all panels. When lagged dependent variables matter (e.g., wage depends on prior wage), standard FE is biased. Use Arellano-Bond GMM: xtserial wage experience union Random effects assumes the