"xtheckman" command does not work...

[Jung-soo Kim]

I tried to use xtheckman command for a panel data analysis, but "command xtheckman is unrecognized" message keeps coming out even if I already downloaded the command and have checked whether it has been downloaded several times. I am using STATA 15 MP version, and would this problem be due to the version? Does anyone have an idea on how to solve this? Your advices would be appreciated very much!

Best, Jung-soo

[FernandoRios]

Hi Jung,
I think you may be mistaken. xtheckman is an official Stata command, which is only available from Stata 16. Earlier versions do not have it.
What you may have downloaded is xtheckmanfe. Which is my own take on the procedure suggested by Wooldridge.
HTH
F

[Jung-soo Kim]

Thanks very much. I also just realized that I was confused with xtheckmanfe.