Stata Regression

Stata Regression

Purpose

This skill produces reproducible regression analysis workflows in Stata, including model diagnostics and publication-ready tables using esttab or outreg2.

When to Use

• Estimating linear or nonlinear regression models in Stata
• Producing tables for academic papers and reports
• Running robustness checks and alternative specifications

Instructions

Follow these steps to complete the task:

Step 1: Understand the Context

Before generating any code, ask the user:

• What is the dependent variable and key regressors?
• What controls and fixed effects are required?
• How should standard errors be clustered?
• What output format is needed (LaTeX, Word, or CSV)?

Step 2: Generate the Output

Based on the context, generate Stata code that:

1. Loads and checks the data - Handle missing values and verify variable types
2. Runs the requested specification - Use regress, reghdfe, or xtreg as appropriate
3. Adds robust or clustered standard errors - Match the study design
4. Exports tables - Use esttab or outreg2 with clear labels

Step 3: Verify and Explain

After generating output:

• Explain what each model estimates
• Highlight assumptions and diagnostics
• Suggest robustness checks or alternative models

Example Prompts

• "Run OLS with firm and year fixed effects, clustering by firm"
• "Estimate a logit model and export results to LaTeX"
• "Create a regression table with three specifications"

Example Output

* ============================================
* Regression Analysis with Stata
* ============================================

* Load data
use "data.dta", clear

* Summary stats
summarize y x1 x2 x3

* Main regression with clustered SEs
regress y x1 x2 x3, vce(cluster firm_id)
eststo model1

* Alternative specification with fixed effects
reghdfe y x1 x2 x3, absorb(firm_id year) vce(cluster firm_id)
eststo model2

* Export table
esttab model1 model2 using "results/regression_table.tex", replace se label

Requirements

Software

• Stata 17+

Packages

• estout (for esttab)
• reghdfe (optional, for high-dimensional fixed effects)

Install with:

ssc install estout
ssc install reghdfe

Best Practices

1. Match standard errors to the design (cluster where treatment varies)
2. Report all model variants used in the analysis
3. Document variable definitions and transformations

Common Pitfalls

• Not clustering standard errors at the correct level
• Omitting fixed effects when required by the design
• Exporting tables without clear labels and notes

References

• Stata Regression Reference Manual
• reghdfe documentation
• estout documentation

Changelog

v1.0.0

• Initial release