[ Pooled OLS ] | | Poolability Test / F-test v [ Fixed Effects (FE) ] ^ | | Hausman Test v [ Random Effects (RE) ] ^ | | Breusch-Pagan LM Test v [ Pooled OLS ] Step 1: Fixed Effects vs. Pooled OLS (F-test) When you run xtreg ..., fe , Stata automatically includes an
The null hypothesis is that the preferred model is Random Effects (RE).
webuse nlswork, clear
Without xtset , panel data commands like xtreg , xtsum , xtline , or xtunitroot will not work. After running xtset , Stata remembers the panel structure for the entire session.
Before diving into complex econometric modeling, it is essential to explore the dimensions of your panel data to understand the variation both across units and over time. Descriptive Statistics
* Run Fixed Effects quietly xtreg y x1 x2, fe
Modified Wald test for groupwise heteroskedasticity in FE models.