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Statistical Software Components

From Boston College Department of Economics
Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA.
Contact information at EDIRC.

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XTGCAUSE: Stata module to test for Granger non-causality in heterogeneous panels Downloads
Luciano Lopez and Sylvain Weber
XTGEEBCV: Stata module to compute bias-corrected (small-sample) standard errors for generalized estimating equations Downloads
John A. Gallis, Fan Li and Elizabeth L. Turner
XTGLSR: Stata module to calculate robust, or cluster-robust variance after xtgls Downloads
Gueorgui Kolev
XTGPS: Stata module to estimate Hoechle, Schmid, and Zimmermann's (2024) GPS regression model for analyzing asset returns Downloads
Daniel Hoechle
XTGRANGERT: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data Downloads
Jiaqi Xiao, Yiannis Karavias, Vasilis Sarafidis, Artūras Juodis and Jan Ditzen
XTGRAPH: Stata module to produce graphs of cross-sectional time series (xt) data Downloads
Paul Seed
XTHECKMANFE: Stata module to fit panel data models in the presence of endogeneity and selection Downloads
Fernando Rios-Avila
XTHRTEST: Stata module to perform Born & Breitung Bias-corrected HR-test for first order panel serial correlation Downloads
Jesse Wursten
XTHST: Stata module to test slope homogeneity in large panels Downloads
Jan Ditzen and Tore Bersvendsen
XTHYBRID: Stata module to estimate hybrid and correlated random effect (Mundlak) models within the framework of generalized linear mixed models (GLMM) Downloads
Francisco (Paco) Perales and Reinhard Schunck
XTIDT: Stata module to compute Identification Variables in Panel Data Downloads
Emad Shehata
XTILE2: Stata module to create a new variable that categorizes exp by its quantiles Downloads
Zhiqiang Wang
XTILETEST: Stata module to test equality of percentiles across groups of observations Downloads
Christopher Baum
XTIMPORTU: Stata module to import monthly, quarterly, half-yearly or yearly time series and panel data as panelvar timevar valuevar from a supported file format to memory or a file Downloads
Ilya Bolotov
XTINE: Stata module to calculate percentile and quantile for a numeric variable Downloads
Christine Cook
XTISTEST: Stata module to perform Portmanteau test for panel serial correlation Downloads
Jesse Wursten
XTITSA: Stata module for performing interrupted time-series analysis for panel data Downloads
Ariel Linden
XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models Downloads
Sebastian Kripfganz and Vasilis Sarafidis
XTIVREG28: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models (version 8) Downloads
Mark Schaffer
XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models Downloads
Mark Schaffer
XTKR: Stata module to implement the Keane and Runkle estimator for dynamic panel data models Downloads
Timothy Neal and Michael Keane
XTLOGLIN: Stata module to perform robust Lagrange multiplier test of linear and log-linear models against Box-Cox alternatives after regress or xtreg Downloads
David Vincent
XTLSDVC: Stata module to estimate bias corrected LSDV dynamic panel data models Downloads
Giovanni Bruno
XTMG: Stata module to estimate panel time series models with heterogeneous slopes Downloads
Markus Eberhardt
XTMIPOLATEU: Stata module to replace missing values in a time series, two- or multidimensional varlist with interpolated (extrapolated) ones Downloads
Ilya Bolotov
XTMIS: Stata module to report missing observations for each variable in xt data Downloads
Minh Nguyen
XTMIXED_CORR: Stata module to compute model-implied intracluster correlations after xtmixed Downloads
Roberto G. Gutierrez
XTMIXEDIOU: Stata module to estimate Linear mixed effects Integrated Ornstein-Uhlenbeck model Downloads
Rachael Hughes
XTMOD: Stata module to analyze and display interactions based on time-series data Downloads
Daniel Seifert
XTMORAN: Stata module to calculate Moran's I and Moran's Ii statistics for panel data and displaying a Moran scatterplot Downloads
Chen Zihou, Liu Xiangge and Xu Jiahui
XTMRHO: Stata module to calculate intra-class correlations after xtmixed Downloads
Lars Kroll
XTNONDYNTHRESHSFA: Stata module to estimate Threshold Effects in Non-Dynamic Panel Data Stochastic Frontier Models Downloads
Ibrahima Diallo
XTNPTIMEVAR: Stata module to estimate non-parametric time-varying coefficients panel data models with fixed effects Downloads
Ibrahima Diallo
XTNUMFAC: Stata module to estimate the number of factors in panel data Downloads
Jan Ditzen and Simon Reese
XTOOS: Stata module for evaluating the out-of-sample prediction performance of panel-data models Downloads
Alfonso Ugarte-Ruiz
XTOVERID: Stata module to calculate tests of overidentifying restrictions after xtreg, xtivreg, xtivreg2, xthtaylor Downloads
Mark Schaffer and Steven Stillman
XTPATTERN: Stata module to generate code showing pattern of xt data Downloads
Nicholas Cox
XTPATTERNVAR: Stata module to generate string variable describing panel patterns Downloads
Nicholas Cox
XTPDYN: Stata module to estimate dynamic random effects probit model with unobserved heterogeneity Downloads
Raffaele Grotti and Giorgio Cutuli
XTPEDRONI: Stata module to perform Pedroni's panel cointegration tests and Panel Dynamic OLS estimation Downloads
Timothy Neal
XTPMG: Stata module for estimation of nonstationary heterogeneous panels Downloads
Edward Blackburne and Mark Frank
XTPQML: Stata module to estimate Fixed-effects Poisson (Quasi-ML) regression with robust standard errors Downloads
Tim Simcoe
XTPROBITUNBAL: Stata module to estimate Dynamic Probit Random Effects Models with Unbalanced Panels Downloads
Pedro Albarran, Raquel Carrasco and Jesus Carro
XTPSSE: Stata module to estimate a conditional fixed-effects Poisson panel regression Downloads
Marinho Bertanha
XTQPTEST: Stata module to perform Born & Breitung Bias-corrected LM-based test for serial correlation Downloads
Jesse Wursten
XTQREG: Stata module to compute quantile regression with fixed effects Downloads
José António Machado and João Santos Silva
XTREGAM: Stata module to estimate Amemiya Random-Effects Panel Data: Ridge and Weighted Regression Downloads
Emad Shehata
XTREGBEM: Stata module to estimate Between-Effects Panel Data: Ridge and Weighted Regression Downloads
Emad Shehata
XTREGBN: Stata module to estimate Balestra-Nerlove Random-Effects Panel Data: Ridge and Weighted Regression Downloads
Emad Shehata
XTREGCLUSTER: Stata module to estimate partially heterogeneous linear panel data with fixed effects Downloads
Demetris Christodoulou and Vasilis Sarafidis
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