Software
Below are the Stata packages I have been maintaining. Let me know if you find any bugs. Thanks!
The Stata Journal, 2026, 26(1), 90-110. [Link to Stata Code] [EconPapers] [连享会]
tvpreg: "Parameter Path Estimation in Unstable Environments: The tvpreg Command," with Atsushi Inoue, Barbara Rossi, and Yiru Wang.
The Stata Journal, 2025, 25(2): 374-406. [Link to Stata Code] [EconPapers] [计量经济圈]
classifylasso: "Identify Latent Group Structures in Panel Data: The classifylasso Command," with Wenxin Huang and Yiru Wang.
The Stata Journal, 2024, 24(1): 46-71. [Link to Stata Code] [EconPapers]
classifylasso2: "Stata Module for Identifying Latent Group Structures in Panel Data" with Wenxin Huang and Yiru Wang, 2025.
This is an updated version of classifylasso. See the replication codes of the PanelPC paper.
breaklasso: "Shrinkage Estimation of Multiple Structural Breaks: A Stata Replication" with Yingying Chen and Wenxin Huang, 2026. [Available upon request]