Stata requires numerical IDs. Convert string identifiers using egen id = group(string_var) .
Are you worried about (like gender or region)?
* setup xtset id year
These (no cross‑unit contamination) only after xtset .
* Install if necessary: ssc install xttest3 xtreg y x1 x2 x3, fe xttest3 Use code with caution. Testing for Serial Correlation stata panel data exclusive
Binary outcomes (default, strike, purchase) with panel data? xtlogit is standard, but exclusive users know the difference between and FE :
Drops all time-invariant variables (e.g., gender, race, country of origin). Random Effects (RE) Stata requires numerical IDs
Highly efficient estimator; allows inclusion of time-invariant variables.
xtreg investment capital market_value, fe vce(cluster firm_id) Use code with caution. Dynamic Panel Data: Difference and System GMM When your model includes a lagged dependent variable ( Yt−1cap Y sub t minus 1 end-sub * setup xtset id year These (no cross‑unit
. It uses Generalized Least Squares (GLS) to provide more efficient estimates. It also allows the inclusion of time-invariant variables (e.g., gender, race, geography). xtreg y x1 x2 x3, re Use code with caution. The Hausman Test