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. © 2005 StataCorp LP.