[U] User's Guide

26 Overview of Stata estimation commandsContents26.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35726.2 Linear regression with simple error structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35826.3 ANOVA, ANCOVA, MANOVA, and MANCOVA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35926.4 Generalized linear models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36026.5 Binary-outcome qualitative dependent-variable models . . . . . . . . . . . . . . . . . . . . . . . . . 36026.6 Conditional logistic regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36226.7 Multiple-outcome qualitative dependent-variable models . . . . . . . . . . . . . . . . . . . . . . . . 36226.8 Count dependent-variable models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36326.9 Exact estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36326.10 Linear regression with heteroskedastic errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36426.11 Stochastic frontier models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36426.12 Regression with systems of equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36526.13 Models with endogenous sample selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36526.14 Models with time-series data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36526.15 Panel-data models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36626.15.1 Linear regression with panel data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36626.15.2 Censored linear regression with panel data . . . . . . . . . . . . . . . . . . . . . . . . . . . 36826.15.3 Generalized linear models with panel data . . . . . . . . . . . . . . . . . . . . . . . . . . . 36826.15.4 Qualitative dependent-variable models with panel data . . . . . . . . . . . . . . . . . 36826.15.5 Count dependent-variable models with panel data . . . . . . . . . . . . . . . . . . . . . 36826.15.6 Random-coefficient models with panel data . . . . . . . . . . . . . . . . . . . . . . . . . . 36926.16 Survival-time (failure-time) models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36926.17 Generalized method of moments (GMM) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36926.18 Estimation with correlated errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37026.19 Survey data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37026.20 Multiple imputation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37126.21 Multivariate and cluster analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37126.22 Pharmacokinetic data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37226.23 Specification search tools . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37226.24 Obtaining new estimation commands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37326.25 Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37326.1 IntroductionEstimation commands fit models such as linear regression and probit. Stata has many suchcommands, so it is easy to overlook a few. Some of these commands differ greatly from each other,others are gentle variations on a theme, and still others are equivalent to each other.Estimation commands share features that this chapter will not discuss; see [U] 20 Estimation andpostestimation commands. Especially see [U] 20.16 Obtaining robust variance estimates, whichdiscusses an alternative calculation for the estimated variance matrix (and hence standard errors) thatmany of Stata’s estimation commands provide, and [U] 20.11 Performing hypothesis tests on thecoefficients.357