Stata Panel Data [new]

Here’s an interesting, critical, and insightful review of panel data methods in Stata, framed not as a dry manual but as a "user's journey from naive to nuanced."

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Part 7: Diagnostics for Panel Models

Run these after your main estimation.

A. Testing for Serial Correlation (Autocorrelation)

In panel data, the error term of one period may be correlated with the next. stata panel data

• Wooldridge Test: The standard test for autocorrelation in panel data.
• Command:

  xtserial y x
  

  (Note: requires installation via ssc install xtserial)
• Remedy: If present, use cluster-robust standard errors (see Section 6).

Pros:

• Controls for all time-invariant confounders.
• Consistent under conditional independence.