XTGFE: Stata module to perform grouped fixed-effects (GFE) estimation for panel data (Bonhomme and Manresa, 2015)

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: xtgfe estimates the grouped fixed-effects model of Bonhomme and Manresa (2015, Econometrica), in which the units of a panel are classified into a finite number of latent groups, each with its own time-varying (or, optionally, time-invariant) fixed effect. Group membership is unobserved and is estimated from the data, jointly with the common coefficients. Both of the authors' computational algorithms are implemented (the iterative Algorithm 1 and the variable neighborhood search Algorithm 2), for balanced and unbalanced panels. Three types of standard errors are available: large-N large-T cluster-sandwich (default), unit-resampling bootstrap with bias correction, and the large-N fixed-T analytic formula based on Pollard (1982). The number of groups can be selected by the BIC criterion of the paper.

Language: Stata
Requires: Stata version 14
Keywords: grouped fixed effects; panel data (search for similar items in EconPapers)
Date: 2026-08-01
Note: This module should be installed from within Stata by typing "ssc install xtgfe". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/x/xtgfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgfe.sthlp help file (text/plain)

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