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Linear models for panel data

• Fixed-effects estimator
• Linear model with panel-level effects and i.i.d. errors
• Linear model with panel-level effects and AR(1) errors
• GLS and ML random-effects estimators
• Difference in differences (DID) estimation
• Heterogeneous DID estimation New
• High-dimensional fixed effects (HDFE) StataNow
• Robust and cluster–robust standard errors
• Multiway clustering New
• HC2 with degrees-of-freedom adjustment New
• Wildbootstrap confidence intervals and inference New
• Multiple imputation
• Bayesian estimation
• Correlated random-effects estimator StataNow

Random-effects regression for binary, ordinal, categorical, 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) *
• Negative binomial regression
• Robust standard errors with (*) regressions
• Bayesian estimation

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

• Multinomial logistic regression
• 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
• Robust and cluster–robust standard errors
• Multiway clustering New
• HC2 with degrees-of-freedom adjustment New
• Wildbootstrap confidence intervals and inference New

Random-effects regression with sample selection

Random-effects extended regression models

• Combine endogeneity, Heckman-style selection, and treatment effects
• Linear regression
• Interval regression, including tobit
• Probit regression
• Ordered probit regression
• Exogenous or endogenous treatment assignment
  • Binary treatment–untreated/treated
  • Ordinal treatment levels–0 doses, 1 dose, 2 doses, etc.
• Endogenous selection using probit or tobit
• All standard postestimation commands available, including predict and margins

Regressors correlated with individual-level effects

• Hausman–Taylor instrumental-variables estimators
• Amemiya–MaCurdy instrumental-variables estimators
• Robust and cluster–robust standard errors
• Multiway clustering New
• HC2 with degrees-of-freedom adjustment New
• Wildbootstrap confidence intervals and inference 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

• Hausman specification test
• Breusch and Pagan Lagrange multiplier test for random effects
• Mundlak specification test StataNow

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