CUPFM: Stata module to estimate Panel Cointegration with Common Factors models

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: cupfm estimates panel cointegration models with cross-sectional dependence modeled as a common factor structure. It implements all five estimators from Bai, Kao & Ng (2009) and Bai & Kao (2005), translated exactly from the authors' official GAUSS source code. The package includes automatic factor selection via Bai & Ng (2002) information criteria, Bartlett and Parzen kernel long-run covariance estimation, and provides publication-quality visualizing plots (coefficients, factors, loadings) and automated export formats (Excel, LaTeX, CSV).

Language: Stata
Requires: Stata version 14
Keywords: panel data; cointegration; common factors (search for similar items in EconPapers)
Date: 2026-04-17, Revised 2026-04-20
Note: This module should be installed from within Stata by typing "ssc install cupfm". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cupfm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cupfm.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cupfm_display.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cupfm_export.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cupfm_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cupfm_plot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cupfm_validate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cupfm_example.do sample do-file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459671

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