In this article, we describe and implement the Brock, Dechert, and Scheinkman (1987, Working paper) test of independence of the elements of a time series.

This article is primarily a replication study of Engle and Patton (2001, Quantitative Finance 1: 237–245), but it also serves as a demonstration of the time-series features introduced into Stata over the past two decades. The dataset used in the original study is extended from the end date of the original sample on 22 August 2000 to 1 August 2017 to examine the robustness of the models.

Recognizing a dose–response pattern based on heterogeneous tables of contrasts is hard. Specification of a statistical model that can consider the possible dose–response data-generating mechanism, including its variation across studies, is crucial for statistical inference. The aim of this article is to increase the understanding of mixed-effects dose–response models suitable for tables of correlated

One of the targets of personalized medicine is to provide treatment recommendations using patient characteristics. We present the command ptr, which both predicts a personalized treatment recommendation algorithm and evaluates its effectiveness versus an alternative regime, using randomized trial data. The command allows for multiple (continuous or categorical) biomarkers and a binary or continuous

The Kitagawa–Oaxaca–Blinder decomposition approach has been widely used to attribute group-level differences in an outcome to differences in endowment, coefficients, and their interactions. The method has been implemented for Stata in the popular oaxaca command for cross-sectional analyses. In recent decades, however, research questions have been more often focused on the decomposition of group-based

In empirical work, researchers frequently test hypotheses of parallel form in several regressions, which raises concerns about multiple testing. One way to address the multiple-testing issue is to jointly test the hypotheses (for example, Pei, Pischke, and Schwandt [2019, Journal of Business & Economic Statistics 37: 205–216] and Lee and Lemieux [2010, Journal of Economic Literature 48: 281–355]).

In this article, we describe the mlcar command, which implements a maximum likelihood method to simultaneously estimate the regression coefficients of a two-regime endogenous switching model and the coefficient measuring the correlation of outcomes between the two regimes. This coefficient, known as the “across-regime” correlation parameter, is generally unidentified in the traditional estimation procedures

In this article, I provide an overview of existing community-contributed commands for executing event studies. I assess which command could have been used to conduct event studies that have appeared in the past 10 years in 3 leading accounting, finance, and management journals. The older command eventstudy provides a comfortable graphical user interface and good functionality for event studies that

Overfitting is a common problem in the development of predictive models. It leads to an optimistic estimation of apparent model performance. Internal validation using bootstrapping techniques allows one to quantify the optimism of a predictive model and provide a more realistic estimate of its performance measures. Our objective is to build an easy-to-use command, bsvalidation, aimed to perform a bootstrap

Dominance analysis is a common method applied to statistical models to determine the importance of independent variables. In this article, I describe two community-contributed commands, domin and domme, that can be used to dominance-analyze both independent variables and parameter estimates in Stata estimation commands. I discuss how to compute dominance statistics, provide multiple examples of each

The spaghetti problem arises in graphics when multiple time series or other functional traces show mostly a tangled mess. The related paella problem (often experienced but not usually named as such) arises for multiple patterns combined in scatterplots. This column is a sequel to those in Stata Journal 10: 670–681 (2010) and 19: 989–1008 (2019). The focus is on what are here called front-and-back plots

The editors of the Stata Journal are pleased to invite nominations for their 2021 prize in accordance with the following rules. Nominations should be sent as private email to [email protected]com by July 31, 2021.

We introduce three new commands—nop, ziop2, and ziop3—for the estimation of a three-part nested ordered probit model, the two-part zero-inflated ordered probit models of Harris and Zhao (2007, Journal of Econometrics 141: 1073–1099) and Brooks, Harris, and Spencer (2012, Economics Letters 117: 683–686), and a three-part zero-inflated ordered probit model of Sirchenko (2020, Studies in Nonlinear Dynamics

In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under the null hypothesis of random walk with drift. The method implemented in this command is considerably more precise than the corresponding case of the conventional augmented Dickey–Fuller test, which can be inaccurate when the true value of the drift term is small relative

In this article, we introduce a new community-contributed command, xthst, to test for slope heterogeneity in panels with many observations over cross-sectional units and time periods. The command implements such a test, the delta test (Pesaran and Yamagata, 2008, Journal of Econometrics 142: 50–93). Under its null, slope coefficients are homogeneous across cross-sectional units. Under the alternative

margins is a powerful postestimation command that allows the estimation of marginal effects for official and community-contributed commands, with well-defined predicted outcomes (see predict). While the use of factor-variable notation allows one to easily estimate marginal effects when interactions and polynomials are used, estimation of marginal effects when other types of transformations such as

In this article, we present the wald_tc command, which computes the maximum regret (MR) of a user-specified statistical treatment rule that uses sample data on realized treatment response (and optionally an instrumental variable) to determine a treatment choice for a population. Because the outcomes of counterfactual treatments are not observed and treatment selection in the study population may not

Economists often use matched samples, especially when dealing with earning data where some observations are missing in one sample and need to be imputed from another sample. Hirukawa and Prokhorov (2018, Journal of Econometrics 203: 344–358) show that the ordinary least-squares estimator using matched samples is inconsistent and propose two consistent estimators. We describe a new command, msreg, that

The estudy command proposed by Pacicco, Vena, and Venegoni (2018, Stata Journal 18: 461–476) performs event studies only for event-date clustering, that is, when the event date is common to all securities. This constitutes a relevant limitation because the vast majority of this methodology’s applications concerns studies in which the events happen on different dates for each statistical unit considered

Suppose that a population, composed of a minority and a majority group, is allocated into units, which can be neighborhoods, firms, classrooms, etc. Qualitatively, there is some segregation whenever allocation leads to the concentration of minority individuals in some units more than in others. Quantitative measures of segregation have struggled with the small-unit bias. When units contain few individuals

The blopmatching estimator for average treatment effects in observational studies is a nonparametric matching estimator proposed by Díaz, Rau, and Rivera (2015, Review of Economics and Statistics 97: 803–812). This approach uses the solutions of linear programming problems to build the weighting schemes that are used to impute the missing potential outcomes. In this article, we describe blopmatch,

Stata’s gsem command provides the ability to fit multilevel structural equation models (SEM) and related multilevel models. A motivating example is provided by multilevel mediation analyses (MA) conducted on patient data from Methadone Maintenance Treatment clinics in China. Multilevel MA conducted through the gsem command examined the mediating effects of patients’ treatment progression and rapport

In this article, we describe kmr, a command to estimate a microcompliance function using groups’ nonresponse rates (Korinek, Mistiaen, and Ravallion, 2007, Journal of Econometrics 136: 213–235), which can be used to correct survey weights for unit nonresponse. We illustrate the use of kmr with an empirical example using the current population survey and state-level nonresponse rates.

How can social and health researchers study complex dynamic systems that function in nonlinear and even chaotic ways? Common methods, such as experiments and equation-based models, may be ill-suited to this task. To address the limitations of existing methods and offer nonparametric tools for characterizing and testing causality in nonlinear dynamic systems, we introduce the edm command in Stata. This

In this article, I review Psychological Statistics and Psychometrics Using Stata, by Scott A. Baldwin (2019, Stata Press).

Stata does not have the concept of a categorical variable, but statistical people do, as shown by many book titles alone (for example, Fienberg [1980]; Lloyd [1999]; Simonoff [2003]; Tutz [2012]; Agresti [2013]; Long and Freese [2014]). The categories of such variables are distinct and often, but not necessarily, few in number. Examples are differing disease condition, employment status, or land cover

st0173_2: Robust regression in Stata. V. Verardi and C. Croux. Stata Journal 10: 313; 9: 439–453.

Date: Thursday, August 5, and Friday, August 6, 2021

The challenges in statistics and data science are rapidly growing because access to a multitude of data types continues to increase, as well as the sheer quantity of data. Analysts are now presented with multivariate data, sometimes measured repeatedly, and often requiring the ability to model nonlinear relationships and hierarchical structures. In this article, I present the merlin command, which

In this article, we describe jackknife2, a new prefix command for jackknifing linear estimators. It takes full advantage of the available leave-one-out formula, thereby allowing for substantial reduction in computing time. Of special note is that jackknife2 allows the user to compute cross-validation and diagnostic measures that are currently not available after ivregress 2sls, xtreg, and xtivregress

In this article, we describe the two new commands cngcode and cnaddress, which can be used to link Chinese addresses to locations defined by their longitudes and latitudes through Baidu Map API v3.0 (http://api.map.baidu.com), an online map and navigation system widely used in China. cngcode transfers Chinese addresses to locations, whereas cnaddress does the opposite. These two commands make it easier

When considering multiple-hypothesis tests simultaneously, standard statistical techniques will lead to overrejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this article, we discuss the Romano–Wolf multiple-hypothesis correction and document its implementation in Stata. The Romano–Wolf correction (asymptotically) controls the familywise error

In this article, I build on the work of Abadie and Gardeazabal (2003, American Economic Review 93: 113–132) and Abadie, Diamond, and Hainmueller (2010, Journal of the American Statistical Association 105: 493–505), extending the synthetic control method for program evaluation—implemented in Stata via the community-contributed command synth—to the case of a nonparametric identification of the synthetic

In this article, we introduce the Stata (and R) package rdmulti, which consists of three commands (rdmc, rdmcplot, rdms) for analyzing regression-discontinuity (RD) designs with multiple cutoffs or multiple scores. The command rdmc applies to noncumulative and cumulative multicutoff RD settings. It calculates pooled and cutoff-specific RD treatment effects and provides robust biascorrected inference

Data collection and cleaning workflows implement highly repetitive but extremely important processes. In this article, we introduce iefieldkit, a package developed to standardize and simplify best practices for high-quality primary data collection across the World Bank’s Development Research Group Impact Evaluations department. iefieldkit automates error-checking for electronic Open Data Kit-based

In cross-sectional time-series data with a dichotomous dependent variable, failing to account for duration dependence when it exists can lead to faulty inferences. A common solution is to include duration dummies, polynomials, or splines to proxy for duration dependence. Because creating these is not easy for the common practitioner, I introduce a new command, mkduration, that is a straightforward

The popularity of GitHub is growing, among not only software developers but also statisticians and data scientists. In this article, I discuss why social coding platforms such as GitHub are preferable for developing, documenting, maintaining, and collaborating on statistical software. Furthermore, I introduce the github command version 2.0 for Stata, which facilitates building, searching, installing

Researchers often want to examine the relationship between a variable of interest and multiple related outcomes. To avoid problems of inference that arise from testing multiple hypotheses, one can create a summary index of the outcomes. Summary indices facilitate generalizing findings and can be more powerful than individual tests. In this article, we introduce a command, swindex, that implements the

In this article, we describe the xtfesing command. The command implements a generalized method of moments estimator that allows exploiting singleton information in fixed-effects panel-data regression as in Bruno, Magazzini, and Stampini (2020, Economics Letters 186: Article 108519).

In this article, we describe the implementation of fitting partially linear functional-coefficient panel models with fixed effects proposed by An, Hsiao, and Li [2016, Semiparametric estimation of partially linear varying coefficient panel data models in Essays in Honor of Aman Ullah (Advances in Econometrics, Volume 36)] and Zhang and Zhou (Forthcoming, Econometric Reviews). Three new commands xtplfc

Two commands in official Stata, foreach and forvalues, provide structures for looping through lists of values (variable names, numbers, arbitrary text) and repeating commands using members of those lists in turn. These commands may be used interactively, and none is restricted to use in Stata programs. They are explained and compared in some detail with a variety of examples. In addition, a self-contained

Stata users produce graphs (often called figures) for their presentations and publications. Many such figures are composites with two or more separate panels, so that figure 1 is a composite of figure 1a, 1b, 1c, and 1d. There are two main ways to create such composites in Stata: using a by() option or using graph combine on previously created graphs. There are also commands such as graph matrix whose

To compare distributions of ordinal data such as individuals’ responses on Likert-type scale variables summarizing subjective well-being, we should not apply the toolbox of methods developed for cardinal variables such as income. Instead, we should use an analogous toolbox that accounts for the ordinal nature of the responses. In this article, I review these methods and introduce a new command, ineqord

In this article, we introduce a new command, sfcount, to fit count-data stochastic frontier models. Although originally designed to estimate production and production-cost functions, this new command can be used to estimate mean regression functions when count data are suspected to be underreported or over-reported.

Artificial effect-size magnification (ESM) may occur in underpowered studies, where effects are reported only because they or their associated p-values have passed some threshold. Ioannidis (2008, Epidemiology 19: 640–648) and Gelman and Carlin (2014, Perspectives on Psychological Science 9: 641–651) have suggested that the plausibility of findings for a specific study can be evaluated by computation

In this article, we describe and implement the local Whittle and exact local Whittle estimators of the order of fractional integration of a time series.

Philips, Rutherford, and Whitten (2016, Stata Journal 16: 662–677) introduced dynsimpie, a command to examine dynamic compositional dependent variables. In this article, we present an update to dynsimpie and three new adofiles: cfbplot, effectsplot, and dynsimpiecoef. These updates greatly enhance the range of models that can be estimated and the ways in which model results can now be presented. The

In this article, I propose a new test for power-law behavior. The statistical test, pwlaw, is locally optimal if the possible alternative distributions are contained in the Pareto type (IV) family. After deriving the test, I examine four classical datasets: the frequency of unique words in an English text (Moby Dick); the human populations of U.S. cities; the frequency of U.S. family names; and the

In this article, we describe the use of ivmediate, a new command to estimate causal mediation effects in instrumental-variables settings using the framework developed by Dippel et al. (2020, unpublished manuscript). ivmediate allows estimation of a treatment effect and the share of this effect that can be attributed to a mediator variable. While both treatment and mediator can be potentially endogenous

In this article, I describe the escount command, which implements the estimation of an endogenous switching model with count-data outcomes, where a potential outcome differs across two alternate treatment statuses. escount allows for either a Poisson or a negative binomial regression model with lognormal latent heterogeneity. After estimating the parameters of the switching regression model, one can

Nonparametric regressions are powerful statistical tools that can be used to model relationships between dependent and independent variables with minimal assumptions on the underlying functional forms. Despite their potential benefits, these models have two weaknesses: The added flexibility creates a curse of dimensionality, and procedures available for model selection, like crossvalidation, have a

A few years ago, we developed metaan, a package to perform fixedor random-effects meta-analysis. In terms of random-effects meta-analysis, it offered a wide choice of models, including maximum likelihood, profile likelihood, or restricted maximum-likelihood, in addition to the established DerSimonian–Laird method available in metan or Cochrane’s RevMan software. Other unique features included a wide

In this article, we introduce a command, tssreg, that conducts nonparametric series estimation and uniform inference for time-series data, including the case with independent data as a special case. This command can be used to nonparametrically estimate the conditional expectation function and the uniform confidence band at a user-specified confidence level, based on an econometric theory that accommodates

The mslt command calculates the functions of a multistate life table and plots a graph of conditional and unconditional life expectancies by time. The command provides linear and exponential solutions to estimate the number of individuals, transitions, probabilities, person-years, and years of life in a given cohort and state of occupancy. The input data are time-specific transition rates (or survivorship

Whether a variable is in fact constant—so that it takes on exactly the same value in different observations—is of common concern in statistical work. The question may arise for all the observations in a dataset or for different subsets of the dataset. It may arise because constancy is desirable or because constancy is undesirable, but either way we often need to check simply and quickly. In this column

gr0066_2. Speaking Stata: Multiple bar charts in table form. N. J. Cox. Stata Journal 17: 779; 16: 491–510.

In this article, we describe how to fit panel-data ordered logit models with fixed effects using the new community-contributed command feologit. Fixed-effects models are increasingly popular for estimating causal effects in the social sciences because they flexibly control for unobserved time-invariant heterogeneity. The ordered logit model is the standard model for ordered dependent variables, and

In this article, we present a new command, qcte, that implements several methods for estimation and inference for quantile treatment-effects models with a continuous treatment. We propose a semiparametric two-step estimator, where the first step is based on a flexible Box–Cox model, as the default model of the command. We develop practical statistical inference procedures using bootstrap. We implement

In this article, we present the eqregsel command, which estimates and provides bootstrap inference for sample-selection models via extremal quantile regression. eqregsel estimates a semiparametric sample-selection model without an instrument or a large support regressor and outputs the point estimates of the homogeneous linear coefficients, their bootstrap standard errors, and the p-value for a specification