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