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The Stata Journal
Volume 5 Number 2: pp. 202-207

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Estimation and testing of fixed-effect panel-data systems

J. Lloyd Blackwell, III
Department of Economics
University of North Dakota
Abstract.   This paper describes how to specify, estimate, and test multiple-equation, fixed-effect, panel-data equations in Stata. By specifying the system of equations as seemingly unrelated regressions, Stata panel-data procedures worked seamlessly for estimation and testing of individual variable coefficients, but additional routines using test were needed for testing of individual equations and differences between equations.
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View all articles with these keywords: panel data, fixed effect, multiple equations, seemingly unrelated regressions, heteroskedasticity, autocorrelation, contemporaneous correlation, tests of linear combinations

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