st: RE: regress command with panel data

[Nick Cox <n.j.cox@durham.ac.uk>]

I don't know if this answers your question, but typing 

. regress y x 

doesn't give Stata any information on the structure of the data. Nor does -regress-, in this case, pay attention to other information that you have given Stata. 

The data are just a bundle of y's and x's so far as -regress- is concerned. You can think of it as panels or cross-sections, but it doesn't care either way. 

Otherwise put, you can repeat -regress- after 

. tsset, clear

or  

. xtset, clear 

to check that it makes no difference what you say about panels. 

The plain -regress- will not be the "correct" analysis if there is any kind of dependence structure other than a linear relation between y and x. I'm puzzled by any implication otherwise. I guess that plenty of other people were puzzled too, which is why you got no replies first time round. 

Nick 
n.j.cox@durham.ac.uk 

Tunga Kantarci

I asked it before but could not get any reply. I would like to recast
my question. I hope this is not inappropriate.

I have data in panel format and I declared it as a a panel. All fine.
I am carrying out a fixed effect regression to overcome the
endogeneity problem (due to simultaneity) I have in my model. In fact,
to demonstrate that I have the endogeneity problem, I wanted to
compare the estimates from a plain OLS regression (regress y x) to the
estimates from the fixed effects regression (xtreg y x, fe). To carry
out the OLS regression, I simply run the command "regress y x".

My question is: If I use the plain "regress y x" command to get the
plain OLS estimates using the panel data I have, will that regression
be correct? Will Stata treat my panel data as pooled cross sections?
Or do I need to instruct Stata with a special command to run the plain
OLS using my panel data?

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