Estimation and Testing of Fixed-effect Panel-data Systems

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.

Keywords

st0084 panel data fixed effect multiple equations seemingly unrelated regressions heteroskedasticity autocorrelation contemporaneous correlation tests of linear combinations

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