Stata commands
I try to provide Stata codes for all papers that I have been involved in and that contain new econometric methods. Please don't hesitate to get in touch with me in case you have and questions or comments concerning the commands listed below.
- xtpervasive implements the methods for detection of pervasive units in large factor models, as proposed by Kapetanios, Pesaran and Reese (2020, JoE). Alternatively, I have written a set of standalone functions (here) that allow to run the detection algorithms in Matlab.
- xtpanicca conducts the PANICCA tests of Reese and Westerlund (2015, JAE) or the PANIC tests of Bai and Ng (2004, 2010).