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XTGFE: Stata module to perform grouped fixed-effects (GFE) estimation for panel data (Bonhomme and Manresa, 2015)

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

xtgfe estimates the grouped fixed-effects model of Bonhomme and Manresa (2015, Econometrica), in which the units of a panel are classified into a finite number of latent groups, each with its own time-varying (or, optionally, time-invariant) fixed effect. Group membership is unobserved and is estimated from the data, jointly with the common coefficients. Both of the authors' computational algorithms are implemented (the iterative Algorithm 1 and the variable neighborhood search Algorithm 2), for balanced and unbalanced panels. Three types of standard errors are available: large-N large-T cluster-sandwich (default), unit-resampling bootstrap with bias correction, and the large-N fixed-T analytic formula based on Pollard (1982). The number of groups can be selected by the BIC criterion of the paper.

Suggested Citation

  • Ozan Eruygur, 2026. "XTGFE: Stata module to perform grouped fixed-effects (GFE) estimation for panel data (Bonhomme and Manresa, 2015)," Statistical Software Components S459847, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459847
    Note: This module should be installed from within Stata by typing "ssc install xtgfe". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgfe.sthlp
    File Function: help file
    Download Restriction: no
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