XTTACCE: Stata module to compute Time Averaged Common Correlated Effects estimator (TACCE) for fixed-N panel data and SUR

Pengyu Chen

Statistical Software Components from Boston College Department of Economics

Abstract: Time Averaged Common Correlated Effects estimator (TACCE) for fixed-N panel data and SUR, with interactive fixed effects in the errors. The idea is to use time averages of the observables to asymptotically purge the interactive fixed effects. These averages are included as additional regressors and the resulting augmented regression model is estimated by least squares. The estimator is developed in Westerlund, Kaddoura, and Karavias (2025).

Language: Stata
Requires: Stata version 12
Keywords: correlated effects estimator; panel data; fixed effects (search for similar items in EconPapers)
Date: 2025-07-18
Note: This module should be installed from within Stata by typing "ssc install xttacce". 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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http://fmwww.bc.edu/repec/bocode/x/xttacce.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xttacce.sthlp help file (text/plain)

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