Panel Data Exclusive !!top!!: Stata

Introduction

• First-difference model:

• regress y x1 x2 (after xtset, same)

Check:

2. Core concepts and notation

• Data layout: long format with variables indexed by i and t.
• Fixed effects (FE): allows unit-specific intercepts α_i. Model: y_it = α_i + β' x_it + ε_it.
• Random effects (RE): assumes α_i ~ IID(0, σ_α^2) independent of x_it. Model: y_it = α + β' x_it + u_i + ε_it.
• Between, within, and pooled estimators: