update: xtdcce2, xtcd2 and xtcse2

[JanDitzen]

A new version of the xtdcce2 package is available on my GitHub and will be available on SSC in due time. The update can be installed in Stata by typing:

net install xtdcce2 , from("https://janditzen.github.io/xtdcce2/")

The xtdcce2 package is for model specification and estimation of linear panel time series models with cross-sectional dependence. It includes:

1. xtdcce2: Estimating heterogeneous coefficient models using common correlated effects in a dynamic panel with a large number of observations over groups and time periods.
2. xtcd2: Testing for weak cross-sectional dependence.
3. xtcse2: Estimation of the exponent of cross-sectional dependence.

The updates contain:

xtdcce2

• regularized CCE estimation (Juodis, JAE, 2022, link)
• xtdcce2fast: a subroutine for faster estimation and tailored to very large datasets
• bootstrapping of standard errors and confidence intervals
• several bug fixes

xtcd2

• speed improvements
• weighted CD Test (Juodis & Reese, JBES, 2022, link)
• bias adjusted CD Test (Pesaran & Xie, 2022, link)
• multiple variables can be tested at the same time

xtcse2

• unbalanced panel data now uses a EM algorithm to create internally a balanced panel
• bug fixes

More information can be found on GitHub or the respective help files.

Any questions or comments are very welcome.

[JanDitzen]

And thanks to Kit Baum it is now on SSC as well.