Matlab

Package to estimate the number of relevant factors in a factor model with potentially local factors: no_of_factors.zip

Package to i) test for sparsity in the loading matrix and ii) identify individual loading vectors under sparsity: local_factors.zip

Stata

Stata package xtevent to run event studies:
current release of xtevent or type ssc install xtevent in Stata.

R

R package plausibounds to quantify and visualize the uncertainty associated with dynamic treatment paths:
current release of plausibounds or type install.packages("plausibounds") in R.

R package eventstudyr to run event studies:
current release of eventstudyr or type install.packages("eventstudyr") in R.

R package l1rotation to simplify the loading matrix in factor models:
current release of l1rotation or type install.packages("l1rotation") in R.