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STATA Data Panel

This document provides instructions for analyzing panel data using Stata. It discusses how to: 1. Declare a dataset as panel data in Stata, specifying the time and panel ID variables. 2. Estimate fixed effect and random effects models for panel data regression. 3. Perform post-estimation tests like the Hausman test to compare the fixed and random effects models and the Breusch-Pagan LM test for random effects.

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357 views

STATA Data Panel

This document provides instructions for analyzing panel data using Stata. It discusses how to: 1. Declare a dataset as panel data in Stata, specifying the time and panel ID variables. 2. Estimate fixed effect and random effects models for panel data regression. 3. Perform post-estimation tests like the Hausman test to compare the fixed and random effects models and the Breusch-Pagan LM test for random effects.

Uploaded by

albertoloss
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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1

DATA PANEL

Aplikasi data panel menggunakan data Grunfeld.xls

Spesifikasi model :
Y = f(X2, X3)

dimana:
Y : gross investment
X2 : value of firm
X3 : capital




2
Entry data secara cut paste ke Stata




Diperlukan declare dataset sebagai data panel yang akan dikenal Stata.

Klik Statistics Cross-sectional time series Setup & utilities Declare dataset
to be cross-sectional time series





3

Stata akan memunculkan dialog box
Isi Time variable : year
Panel ID variable: firm
Klik radio button yearly, lalu OK



Pada Stata result window akan menunjukkan perintah yang telah dieksekusi.



Analisis individual variability
ketik:
xtsum variabel_dependen variabel_independen

4
Fixed Effect Model

Klik Statistics Cross-sectional time series (Generalized) linear models-Panel-
data linear regression



Dialog box xtreg akan muncul.
Isi dependent variable : y
Independent variable : x2 x3




5
Hasil estimasi fixed effect model :




Menyimpan hasil estimasi di memory komputer
(akan digunakan untuk hausman test)
Klik Statistics General-Post estimation Manage estimation results Store
estimation results









6
Dialog box estimates store, isi Store estimation result under the name: fixed



Stata result window akan menunjukkan perintah estimates store



Perbedaan antar firm pada fixed effect model dapat ditunjukkan pada intercept-nya.
Gunakan LSDV model, ketik :

xi: regress y x2 x3 i.firm



7
Random Effects Model

Klik Statistics Cross-sectional time series (Generalized) linear models-Panel-
data linear regression



Hasil estimasi random effects model :








8
Hausman Test

Klik Statistics General-Post estimation Tests Hausman Specification test



Isi box consistent estimation dengan : fixed



Chi square statistics :




9
Breusch Pagan LM test







10
Quick Reference


Analisis awal regresi data panel
xtsum

Estimasi data panel
Fixed Effect
xtreg variabel_dependen variabel_independen, fe
xi: regress variabel_dependen variabel_independen i.panel_id

Random Effect
xtreg variabel_dependen variabel_independen, re


Post Estimation
Hausman Test
estimates store nama_hasil_estimasi
hausman nama_hasil_estimasi

Breusch-Pagan LM Test
xttest0
11
Data Susenas

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