BASIC STEPS TO DO A SIMPLE PANEL DATA ANALYSIS IN STATA
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1 BASIC STEPS TO DO A SIMPLE PANEL DATA ANALYSIS IN STATA By: Mahyudin 2017 Basic steps to do a panel data analysis in STATA Page 1
2 Outline Outline: 1. Setting up commands 2. Importing data to Stata 3. Panel data basic commands 4. xtreg command 5. Exploring panel data 6. Panel data models: Pooled OLS, Fixed effects, Random effects 7. Testing procedure 8. Hausman test 9. BP-LM test 10. Is time dummy important? 11. Which model is the best? 12. Summary: steps in panel data analysis IMPORTANT! Basic steps to do a panel data analysis in STATA Page 2
3 1. Setting up commands Basic setting up steps: set mem 1000m set more off cd "D:\<your working directory name>" log using <log file name>.log It is advisable to do these steps before embarking on any regression. The log file keeps the whole works you did including the regression results/outputs. Note: see also videos about basic introduction to STATA here Basic steps to do a panel data analysis in STATA Page 3
4 2. Importing data to Stata To load data from Excel for the first time, copy from Excel and paste into STATA: REMEMBER: Sort your data vertically according to panel group (column1), time (column2), followed by the variables country year gdp sav pop Albania First crosssectional unit Albania Albania Albania Albania Albania Albania Albania Albania Albania 1999 missing Algeria Algeria Time Algeria dimension Algeria Algeria Algeria Algeria Algeria Algeria Algeria Basic steps to do a panel data analysis in STATA Page 4
5 3. Panel data basic commands Commands normally used in panel data analysis. Panel data commands start with xt help xt : to obtain help files on xt command xtset id year : to inform Stata that our data is panel xtsum: to summarize data, will give overall, between and within stats and obs xtdes <var id> : to describe a variable xtreg : to start panel regression. We ll look more at this command after this. Basic steps to do a panel data analysis in STATA Page 5
6 4. xtreg command Basic steps to do a panel data analysis in STATA Page 6
7 5. Exploring panel data Basic steps to do a panel data analysis in STATA Page 7
8 6. Pooled OLS POLS assumes the data have common intercept! Basic steps to do a panel data analysis in STATA Page 8
9 6. Fixed effects The difference between FE and RE!! FE allows for many intercepts Basic steps to do a panel data analysis in STATA Page 9
10 6. Random effects The difference between FE and RE!! Basic steps to do a panel data analysis in STATA Page 10
11 7. Testing procedure Basic steps to do a panel data analysis in STATA Page 11
12 8. Hausman test Basic steps to do a panel data analysis in STATA Page 12
13 9. BP-LM test Basic steps to do a panel data analysis in STATA Page 13
14 10. Is time dummy important? Basic steps to do a panel data analysis in STATA Page 14
15 11. Which model is the best? Fixed effect estimator of β remains consistent even if the true model is not fixed effect Basic steps to do a panel data analysis in STATA Page 15
16 12. Summary: steps in panel analysis Steps: 1. Load panel data into stata, make sure your data have N>T 2. xtreg nvar tvar (nvar= cross section variable, tvar= time variable) 3. Do Hausman test FE against RE (to test the error tem that is assumed to have unobserved parameters correlating with regressors) 4. Do Hausman test: Significant choose FE, insignificant choose RE 5. If choose RE, the presence of unobserved parameters in error term is assumed but they happened at random, not correlated with regressors. 6. Do BP-LM test to check whether the unobserved parameters are actually present? Significant choose RE, insignificant choose POLS 7. POLS means the error term is iid and doesn t have unobserved parameters at all. 8. Finally, do the common diagnostic tests to your model (multicollinearity (vif), heterokedasticity (xttest3), serial correlation (xtserial). 9. Remember, always run your final model with robust standard error. Basic steps to do a panel data analysis in STATA Page 16
17 THE END Thank you Basic steps to do a panel data analysis in STATA Page 17
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