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STATA
LONGITUDINAL-DATA/PANEL-DATA
REFERENCE MANUAL
RELEASE 11
A Stata Press Publication
StataCorp LP
College Station, Texas
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Copyright c 1985–2009 by StataCorp LP
All rights reserved
Version 11
Published by Stata Press, 4905 Lakeway Drive, College Station, Texas 77845
Typeset in T E X
Printed in the United States of America
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ISBN-10: 1-59718-065-3
ISBN-13: 978-1-59718-065-8
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StataCorp. 2009. Stata: Release 11 . Statistical Software. College Station, TX: StataCorp LP.
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Table of contents
intro
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Introduction to longitudinal-data/panel-data manual
1
xt
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Introduction to xt commands
3
quadchk
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Check sensitivity of quadrature approximation
10
vce options
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Variance estimators
19
xtabond
. . . . . . . . . . . . . . . . . . . . . . . . . Arellano–Bond linear dynamic panel-data estimation
23
xtabond postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtabond
41
xtcloglog
. . . . . . . . . . . . . . . . . . . .
Random-effects and population-averaged cloglog models
44
xtcloglog postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtcloglog
57
xtdata
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Faster specification searches with xt data
60
xtdescribe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Describe pattern of xt data
67
xtdpd
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Linear dynamic panel-data estimation
71
xtdpd postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtdpd
90
xtdpdsys
. . . . . . . . . . .
Arellano–Bover/Blundell–Bond linear dynamic panel-data estimation
95
xtdpdsys postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtdpdsys
105
xtfrontier
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stochastic frontier models for panel data
109
xtfrontier postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtfrontier
122
xtgee . . . . . . . . . . . . . . . . . . . . . . . .
Fit population-averaged panel-data models by using GEE
125
xtgee postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtgee
144
xtgls
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fit panel-data models by using GLS
153
xtgls postestimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtgls
163
xthtaylor . . . . . . . . . . . . . . . . . . . . .
Hausman–Taylor estimator for error-components models
165
xthtaylor postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xthtaylor
178
xtintreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Random-effects interval-data regression models
180
xtintreg postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtintreg
189
xtivreg
. . . . . . . . .
Instrumental variables and two-stage least squares for panel-data models
193
xtivreg postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtivreg
215
xtline
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Panel-data line plots
217
xtlogit . . . . . . . . . . . . . .
Fixed-effects, random-effects, and population-averaged logit models
221
xtlogit postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtlogit
239
xtmelogit
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Multilevel mixed-effects logistic regression
242
xtmelogit postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtmelogit
270
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xtmepoisson
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Multilevel mixed-effects Poisson regression
279
xtmepoisson postestimation
. . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtmepoisson
297
xtmixed
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Multilevel mixed-effects linear regression
306
xtmixed postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtmixed
347
xtnbreg
. . . . Fixed-effects, random-effects, & population-averaged negative binomial models
356
xtnbreg postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtnbreg
370
xtpcse
. . . . . . . . . . . . . . . . . . . . . . . . . . Linear regression with panel-corrected standard errors
372
xtpcse postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtpcse
382
xtpoisson
. . . . . . . . . Fixed-effects, random-effects, and population-averaged Poisson models
384
xtpoisson postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtpoisson
405
xtprobit . . . . . . . . . . . . . . . . . . . . . . . . Random-effects and population-averaged probit models
408
xtprobit postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xtprobit
428
xtrc
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Random-coefficients model
431
xtrc postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtrc
437
xtreg
. . . . . . .
Fixed-, between-, and random-effects, and population-averaged linear models
439
xtreg postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtreg
468
xtregar
. . . . . . . . . . . . .
Fixed- and random-effects linear models with an AR(1) disturbance
475
xtregar postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Postestimation tools for xtregar
490
xtset
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Declare data to be panel data
492
xtsum
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Summarize xt data
505
xttab
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Tabulate xt data
507
xttobit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Random-effects tobit models
511
xttobit postestimation
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Postestimation tools for xttobit
520
xtunitroot
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Panel-data unit-root tests
523
Glossary
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
553
Subject and author index
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
557
iii
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 User’s
Guide; the second is a reference to the regress entry in the Base Reference Manual; and the third
is a reference to the reshape entry in the Data-Management Reference Manual.
All the manuals in the Stata Documentation have a shorthand notation:
[ GSM ]
Getting Started with Stata for Mac
[ GSU ]
Getting Started with Stata for Unix
[ GSW ]
Getting Started with Stata for Windows
[ U ]
Stata User’s Guide
[ R ]
Stata Base Reference Manual
[ D ]
Stata Data-Management Reference Manual
[ G ]
Stata Graphics Reference Manual
[ XT ]
Stata Longitudinal-Data/Panel-Data Reference Manual
[ MI ]
Stata Multiple-Imputation Reference Manual
[ MV ]
Stata Multivariate Statistics Reference Manual
[ P ]
Stata Programming Reference Manual
[ SVY ]
Stata Survey Data Reference Manual
[ ST ]
Stata Survival Analysis and Epidemiological Tables Reference Manual
[ TS ]
Stata Time-Series Reference Manual
[ I ]
Stata Quick Reference and Index
[ M ]
Mata Reference Manual
Detailed information about each of these manuals may be found online at

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