Statistical Software Components

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XTBREAK: Stata module for detecting and dating multiple structural breaks in time series and panel data

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

XTBREAKCOINT: Stata module to implement the panel cointegration test with structural breaks developed by Banerjee and Carrion-i-Silvestre (2015, Journal of Applied Econometrics)

Merwan Roudane

XTBREAKMODEL: Stata module to compute heterogeneous structural breaks in panel data models

Merwan Roudane

XTBUNITROOT: Stata module to perform unit root tests for panel data with structural breaks

Pengyu Chen and Yiannis Karavias

XTCADFCOINT: Stata module to perform Panel CADF cointegration test with structural breaks and cross-section dependence

Merwan Roudane

XTCAEC: Stata module to estimate heterogeneous error correction models in cross-sectional dependent panel data

Korbinian Nagel

XTCBC: Stata module to compute Coefficient-by-Coefficient Breaks in Panel Data Models

Merwan Roudane

XTCCE: Stata module to implement the Common Correlated Effects estimator

Timothy Neal

XTCCECOINT: Stata module to perform Panel CCE Cointegration Test (Banerjee & Carrion-i-Silvestre, 2017)

Merwan Roudane

XTCD2: Stata module to test for weak cross sectional dependence

Jan Ditzen

XTCD: Stata module to investigate Variable/Residual Cross-Section Dependence

Markus Eberhardt

XTCDF: Stata module to perform Pesaran's CD-test for cross-sectional dependence in panel context

Jesse Wursten

XTCENTER: Stata module to disaggregate within and between-person effects by centering variables for mixed and melogit models

Eldin Dzubur

XTCIPS: Stata module to compute Pesaran Panel Unit Root Test in the Presence of Cross-section Dependence

Máximo Sangiácomo

XTCOINTREG: Stata module for panel data generalization of cointegration regression using fully modified ordinary least squares, dynamic ordinary least squares, and canonical correlation regression methods

Ravshanbek Khodzhimatov

XTCSB: Stata module to compute Multifactor cross-sectionally augmented panel unit root tests of CIPS* and CSB (Pesaran, Smith & Yamagata 2013)

Merwan Roudane

XTCSD: Stata module to test for cross-sectional dependence in panel data models

Rafael De Hoyos and Vasilis Sarafidis

XTCSDQ: Stata module to implement Tests of no cross-sectional error dependence in panel quantile regressions

Merwan Roudane

XTCSE2: Stata module to estimate the exponent of cross-sectional dependence in large panels

Jan Ditzen

XTCSI: Stata module to investigate Residual Cross-Section Independence

Máximo Sangiácomo

XTCSNARDL: Stata module to estimate Cross-Sectionally Augmented Panel Nonlinear ARDL (CS-NARDL)

Merwan Roudane

XTCSPQARDL: Stata module to perform Cross-Sectionally Augmented Panel Quantile ARDL, Quantile CCE Mean Group, and Quantile CCE Pooled Mean Group Estimation

Merwan Roudane

XTDCCE2: Stata module to estimate heterogeneous coefficient models using common correlated effects in a dynamic panel

Jan Ditzen

XTDHAZARD: Stata module to perform Own-Differences IV/CF Estimation of the Discrete-Time Hazard Model

Harald Tauchmann

XTDHCOINT: Stata module to perform Durbin-Hausman panel cointegration tests

Merwan Roudane

XTDOLSHM: Stata module to perform panel data cointegration

Ibrahima Diallo

XTDPDBC: Stata module to perform bias-corrected estimation of linear dynamic panel data models

Sebastian Kripfganz and Jörg Breitung

XTDPDGMM: Stata module to perform generalized method of moments estimation of linear dynamic panel data models

Sebastian Kripfganz

XTDPDML: Stata module to estimate Dynamic Panel Data Models using Maximum Likelihood

Richard Williams, Paul Allison and Enrique Moral-Benito

XTDPDQML: Stata module to perform quasi-maximum likelihood linear dynamic panel data estimation

Sebastian Kripfganz

XTDPDSERIAL: Stata module to perform panel data serial correlation tests

Sebastian Kripfganz

XTDPTHRESH: Stata module to estimate Dynamic Panel Threshold Model with Endogeneity

Duy Chinh Nguyen and Nhat Duy Lai

XTDYNESTIMB: Stata module implementing dynamic linear panel-data estimators robust to structural breaks, long-T overidentification, and error cross-sectional dependence

Merwan Roudane

XTDYNTEST: Stata module to perform specification tests after dynamic panel-data GMM estimation

Merwan Roudane

XTENDOTHRESDPD: Stata module to estimate a Dynamic Panel Data Threshold Effects Model with Endogenous Regressors

Ibrahima Diallo

XTEUROSTAT: Stata module to import data from Eurostat in panel data structure

Duarte Gonçalves

XTEVENT: Stata module to estimate and visualize linear panel event-study models

Simon Freyaldenhoven, Christian Hansen, Jorge Pérez Pérez and Jesse Shapiro

XTEWREG: Stata module to estimate errors-in-variable model with mismeasured regressors

Timothy Erickson, Robert Parham and Toni Whited

XTFACTORTEST: Stata module to compute specification tests for heterogeneous panel data models with interactive (multifactor) error effects

Merwan Roudane

XTFEIS: Stata module to estimate linear Fixed-Effects model with Individual-specific Slopes (FEIS)

Volker Ludwig

XTFIFEVD: Stata module to implement Fixed Effects Filtered & Vector Decomposition Estimation for Time-Invariant and Rarely Changing Variables in Panel Data with Unit Fixed Effects

Merwan Roudane

XTFISHER: Stata module to compute Fisher type unit root test for panel data

Scott Merryman

XTFIXEDCOEFTVCU: Stata module to estimate Panel Data Models with Coefficients that Vary over Time and Cross-sectional Units

Ibrahima Diallo

XTFMB: Stata module to execute Fama-MacBeth two-step panel regression

Daniel Hoechle

XTGCAUSE: Stata module to test for Granger non-causality in heterogeneous panels

Luciano Lopez and Sylvain Weber

XTGEEBCV: Stata module to compute bias-corrected (small-sample) standard errors for generalized estimating equations

John A. Gallis, Fan Li and Elizabeth L. Turner

XTGETS: Stata module providing Panel General-to-Specific (GETS) Indicator Saturation for Structural Break Detection

Merwan Roudane

XTGLS2: Stata module to estimate GLS estimator for large N, small T panel data models

Manh Hoang-Ba

XTGLSR: Stata module to calculate robust, or cluster-robust variance after xtgls

Gueorgui Kolev

XTGMCOINT: Stata module to estimate the cointegrating relationship in heterogeneous panels using Pedroni's group-mean Fully Modified OLS (FMOLS) and Dynamic OLS (DOLS)

H. Ozan Eruygur