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MEXPLOT: Stata module to draw mean and median excess plots

Author

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  • Nicholas J. Cox

    (Durham University)

Programming Language

Abstract

mexplot plots for varname mean of (varname - u | varname > u) and optionally median of (varname - u | varname > u) against a varying threshold u. The first plot is variously known as a mean excess plot or a mean residual life plot. A linear pattern in (the tail of) a distribution is expected if and only if the data resemble a generalised Pareto distribution. The command is an updated version of that discussed at the 6th London Stata meeting in 2000.

Suggested Citation

  • Nicholas J. Cox, 2026. "MEXPLOT: Stata module to draw mean and median excess plots," Statistical Software Components S459946, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459946
    Note: This module should be installed from within Stata by typing "ssc install mexplot". 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/m/mexplot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mexplot.sthlp
    File Function: help file
    Download Restriction: no
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