XTFMG: Stata module providing second-generation heterogeneous panel estimators with individual and common shocks

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtfmg estimates the mean slope of the heterogeneous panel data model with individual and common shocks y_it = a_i + b_i' x_it + u_it, u_it = g_i' f_t + e_it, where the slopes b_i are heterogeneous across units with mean b = E(b_i), f_t is a vector of unobserved common factors generating cross-sectional dependence (CSD), and each unit may in addition experience structural breaks at unit-specific dates. The object of interest is the mean slope b.

Language: Stata
Requires: Stata version 14
Keywords: panel data; cross-sectional dependence; Fourier (search for similar items in EconPapers)
Date: 2026-07-03
Note: This module should be installed from within Stata by typing "ssc install xtfmg". 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/x/xtfmg.ado
http://fmwww.bc.edu/repec/bocode/x/xtfmg.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfmg_all.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfmg_breaks.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfmg_estimators.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfmg_example.do
http://fmwww.bc.edu/repec/bocode/x/xtfmg_fccemg.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfmg_fsurmg.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfmg_map.sthlp

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