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XTOUTLIERS: Stata module providing outlier detection and robust estimation for panel data

Author

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  • Merwan Roudane

Programming Language

Abstract

xtvsom implements the Variance Shift Outlier Model (Gumedze 2008; adapted to panel data by Ismadyaliana, Setiawan & Purnomo, MethodsX 13 (2024) 102900). It detects and accommodates outliers by shifting (down-weighting) their variance, and runs as a postestimation companion to xtreg (fixed effects), regress (pooled), and ivregress 2sls / xtivreg (simultaneous equations), as well as standalone.

Suggested Citation

  • Merwan Roudane, 2026. "XTOUTLIERS: Stata module providing outlier detection and robust estimation for panel data," Statistical Software Components S459803, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459803
    Note: This module should be installed from within Stata by typing "ssc install xtoutliers". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoutliers.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoutliers.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoutliers_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlossf.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlossf.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlossf_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoutliers.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoutliers.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoutliers_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtrobust.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtrobust.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtrobust_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvsom.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvsom.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvsom_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvsom_postestimation.sthlp
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