STATALONGITUDINAL-DATA/PANEL-DATA

REFERENCE MANUALRELEASE 13

A Stata Press PublicationStataCorp LPCollege Station, Texas

Copyright c 19852013 StataCorp LPAll rights reservedVersion 13

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Contents

intro . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Introduction to longitudinal-data/panel-data manual 1xt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Introduction to xt commands 2

quadchk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Check sensitivity of quadrature approximation 10

vce options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Variance estimators 20

xtabond . . . . . . . . . . . . . . . . . . . . . . . . . ArellanoBond linear dynamic panel-data estimation 24

xtabond postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtabond 42

xtcloglog . . . . . . . . . . . . . . . . . . . . Random-effects and population-averaged cloglog models 45

xtcloglog postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtcloglog 60

xtdata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Faster specification searches with xt data 63

xtdescribe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Describe pattern of xt data 70

xtdpd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Linear dynamic panel-data estimation 74

xtdpd postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtdpd 93

xtdpdsys . . . . . . . . . . . ArellanoBover/BlundellBond linear dynamic panel-data estimation 98

xtdpdsys postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtdpdsys 108

xtfrontier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Stochastic frontier models for panel data 112

xtfrontier postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtfrontier 124

xtgee . . . . . . . . . . . . . . . . . . . . . . . . Fit population-averaged panel-data models by using GEE 127

xtgee postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtgee 146

xtgls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fit panel-data models by using GLS 155

xtgls postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtgls 165

xthtaylor . . . . . . . . . . . . . . . . . . . . . HausmanTaylor estimator for error-components models 167

xthtaylor postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xthtaylor 180

xtintreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random-effects interval-data regression models 184

xtintreg postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtintreg 193

xtivreg . . . . . . . . . Instrumental variables and two-stage least squares for panel-data models 197

xtivreg postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtivreg 219

xtline . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Panel-data line plots 221

xtlogit . . . . . . . . . . . . . . Fixed-effects, random-effects, and population-averaged logit models 225

xtlogit postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtlogit 243

xtnbreg . . . . Fixed-effects, random-effects, & population-averaged negative binomial models 247

i

ii Contents

xtnbreg postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtnbreg 260

xtologit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random-effects ordered logistic models 263

xtologit postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtologit 272

xtoprobit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random-effects ordered probit models 275

xtoprobit postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtoprobit 284

xtpcse . . . . . . . . . . . . . . . . . . . . . . . . . . Linear regression with panel-corrected standard errors 287

xtpcse postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtpcse 298

xtpoisson . . . . . . . . . Fixed-effects, random-effects, and population-averaged Poisson models 300

xtpoisson postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtpoisson 323

xtprobit . . . . . . . . . . . . . . . . . . . . . . . . Random-effects and population-averaged probit models 327

xtprobit postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtprobit 347

xtrc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random-coefficients model 350

xtrc postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtrc 357

xtreg . . . . . . . . Fixed-, between-, and random-effects and population-averaged linear models 359

xtreg postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtreg 388

xtregar . . . . . . . . . . . . . Fixed- and random-effects linear models with an AR(1) disturbance 395

xtregar postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtregar 410

xtset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Declare data to be panel data 412

xtsum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Summarize xt data 425

xttab . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tabulate xt data 427

xttobit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random-effects tobit models 430

xttobit postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xttobit 438

xtunitroot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Panel-data unit-root tests 440

Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 471

Subject and author index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475

Cross-referencing the documentation

When reading this manual, you will find references to other Stata manuals. For example,

[U] 26 Overview of Stata estimation commands[R] regress[D] reshape

The first example is a reference to chapter 26, Overview of Stata estimation commands, in the UsersGuide; the second is a reference to the regress entry in the Base Reference Manual; and the thirdis a reference to the reshape entry in the Data Management Reference Manual.