Statistical Software Components

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XTFLEXUR: Stata module to provide factor-augmented, break- and Fourier-robust panel time-series tests: Merwan Roudane
XTFLUCBREAK: Stata module to perform a fluctuation test for a structural change at an unknown date in heterogeneous panel data models, with or without common correlated effects: Merwan Roudane
XTFMB: Stata module to execute Fama-MacBeth two-step panel regression: Daniel Hoechle
XTFMG: Stata module providing second-generation heterogeneous panel estimators with individual and common shocks: Merwan Roudane
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
XTGFE: Stata module to perform grouped fixed-effects (GFE) estimation for panel data (Bonhomme and Manresa, 2015): H. Ozan Eruygur
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
XTGMMFA: Stata module to perform GMM estimation for fixed-T factor-augmented panel data model: Manh Hoang-Ba
XTGPS: Stata module to estimate Hoechle, Schmid, and Zimmermann's (2024) GPS regression model for analyzing asset returns: Daniel Hoechle
XTGRANGERT: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data: Jiaqi Xiao, Yiannis Karavias, Vasilis Sarafidis, Artūras Juodis and Jan Ditzen
XTGRAPH: Stata module to produce graphs of cross-sectional time series (xt) data: Paul Seed
XTGUNITROOT: Stata module providing generalized fixed-T panel unit root test (doubly modified estimator): Merwan Roudane
XTHECKMANFE: Stata module to fit panel data models in the presence of endogeneity and selection: Fernando Rios-Avila
XTHETEROQUANT: Stata module to compute quantiles of heterogeneous individual-specific coefficients in panel data, with SQB and CDQB bootstrap inference (Galvao, Hounyo and Lin, 2026): Merwan Roudane
XTHKRCOINT: Stata module to perform Hadri-Kurozumi-Rao panel cointegration test with the null of cointegration: Merwan Roudane
XTHPOOL: Stata module to perform Hausman poolability test for cointegrated panels (Westerlund and Hess 2011): Merwan Roudane
XTHRTEST: Stata module to perform Born & Breitung Bias-corrected HR-test for first order panel serial correlation: Jesse Wursten
XTHST: Stata module to test slope homogeneity in large panels: 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): Francisco (Paco) Perales and Reinhard Schunck
XTIDT: Stata module to compute Identification Variables in Panel Data: Emad Shehata
XTILE2: Stata module to create a new variable that categorizes exp by its quantiles: Zhiqiang Wang
XTILETEST: Stata module to test equality of percentiles across groups of observations: 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: Ilya Bolotov
XTINE: Stata module to calculate percentile and quantile for a numeric variable: Christine Cook
XTISTEST: Stata module to perform Portmanteau test for panel serial correlation: Jesse Wursten
XTITSA: Stata module for performing interrupted time-series analysis for panel data: Ariel Linden
XTIVDFREG: Stata module to perform defactored instrumental variables estimation of large panel data models: 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): Mark Schaffer
XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models: Mark Schaffer
XTKPYBREAK: Stata module to perform CCE estimation under non-stationary common factors and multiple structural breaks in non-stationary heterogeneous panels: Merwan Roudane
XTKR: Stata module to implement the Keane and Runkle estimator for dynamic panel data models: Timothy Neal and Michael Keane
XTKUMBLIENHARD: Stata module to Estimate Generalized Four-Component Panel Data Stochastic Frontier Models: Ibrahima Diallo
XTLMBREAK: Stata module to provide Panel LM cointegration test with multiple structural breaks: Merwan Roudane
XTLOGLIN: Stata module to perform robust Lagrange multiplier test of linear and log-linear models against Box-Cox alternatives after regress or xtreg: David Vincent
XTLONGESTIM: Stata module providing long-run and mean-coefficient estimators with small-T bias correction for dynamic heterogeneous panels: Merwan Roudane
XTLSDVC: Stata module to estimate bias corrected LSDV dynamic panel data models: Giovanni Bruno
XTMG: Stata module to estimate panel time series models with heterogeneous slopes: Markus Eberhardt
XTMIPOLATEU: Stata module to replace missing values in a time series, two- or multidimensional varlist with interpolated (extrapolated) ones: Ilya Bolotov
XTMIS: Stata module to report missing observations for each variable in xt data: Minh Nguyen
XTMISPANEL: Stata module to provide Comprehensive Missing Data Detection, Imputation and Diagnostics for Panel Data: Merwan Roudane
XTMISS: Stata module to report missing observations of individual and time variables in panel data: Dejin Xie
XTMIXED_CORR: Stata module to compute model-implied intracluster correlations after xtmixed: Roberto G. Gutierrez
XTMIXEDIOU: Stata module to estimate Linear mixed effects Integrated Ornstein-Uhlenbeck model: Rachael Hughes
XTMIXEDROOT: Stata module to compute the fraction of nonstationary (unit-root) units in a mixed panel: the Ng (2008) estimator with Westerlund (2016) bias-adjusted fixed-T inference: Merwan Roudane
XTMOD: Stata module to analyze and display interactions based on time-series data: Daniel Seifert
XTMORAN: Stata module to calculate Moran's I and Moran's Ii statistics for panel data and displaying a Moran scatterplot: Chen Zihou, Liu Xiangge and Xu Jiahui