Stata-Code

xtdcce2 and xtcd2 (on SSC)
xtdcce2 estimates heterogeneous coefficient models using common correlated effects in a dynamic panel. xtcd2 tests for cross sectional dependence. Download and more infos are available here.
A new version is available from within Stata: net install xtdcce2, from(http://www.ditzen.net/Stata)

mmat2tex (on SSC)
mmat2tex exports a Mata matrix into LaTeX table format and saves it. Only the body of the table (i.e. rows and columns) is created, but further LaTeX commands at the beginning and end of the table can be included. The mata matrix can be string, real or complex.
Installation in Stata type "ssc mmat2tex" or download the package here.
A new version is available from within Stata: net install mmat2tex, from(http://www.ditzen.net/Stata)

splag
splag creates spatial lags using weights from a dataset. Can be installed in Stata by typing: net install splag , from(http://www.ditzen.net/Stata)

The latest versions of all commands can be retrieved from within Stata by typing net from http://www.ditzen.net/Stata in the command window.