Why would the following commands work only for cross sectional regressions and not work with panel regressions in Stata?
Vif (to check multicolinearity)
Robust (to run robust regression)
Hettest (to check hetroskadticity)
If there is multicollinearity in your model, Stata will drop those variables causing the problem. However, you may still want to see how correlated your variables are. Creating time dummies, you can estimate a regression model with all the variables in hand and use estat vif command afterwards. To check for heteroscedasticity, take a look at here: https://www.stata.com/support/faqs/statistics/panel-level-heteroskedasticity-and-autocorrelation. For heteroscedasticity adjustments, you should use vce(robust) or vce(bootstrap) options with xtreg. The command xtpcse may also help.
Hello Irfan
The attached documents are discussed how to use STATA and briefly summarize Stata commands.
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Zuhair
Hi I have an unbalanced panel dataset in the sense that for some companies (cross sections) I have data for 5 years whereas for other i have data for 6 or 7 years. Is it possible to do fixed effects regression on this data? If yes do i need to give a special command to stata or just the following? Xtset id year Xtreg y x1 x2 x3, fe
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