Estimation and testing of fixed-effect panel-data systems
J. Lloyd Blackwell, III
Department of Economics
University of North Dakota
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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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J. Lloyd Blackwell, III
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panel data, fixed effect, multiple equations, seemingly unrelated regressions, heteroskedasticity, autocorrelation, contemporaneous correlation, tests of linear combinations
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