Time series
ARIMA  •  ARFIMA  •  ARCH/GARCH  •  VAR  •  VECM  •  multivariate GARCH  •  unobserved components model  •  dynamic factors  •  state-space models  •  Markov-switching models  •  business calendars  •  correlograms  •  periodograms  •  forecasts  •  impulse–response functions  •  unit-root tests  •  filters and smoothers  •  rolling and recursive estimation  •  Bayesian econometrics  •  more

Forecasting
time-series and panel data  •  multiple estimation results  •  OLS, VARs, VECs, ARIMAs, ARCHs, 3SLS, and more  •  one equation or thousands  •  identities  •  add factors and other adjustments  •  dynamic or static (one-step-ahead) forecasts  •  solve simultaneous systems  •  more

Panel data
random and fixed effects with robust standard errors  •  linear mixed models  •  random-effects probit  •  GEE  •  random- and fixed-effects Poisson  •  dynamic panel-data models  •  instrumental variables  •  panel unit-root tests  •  Bayesian panel-data models  •  more

Lasso
lasso  •  elastic net  •  model selection  •  prediction  •  inference  •  double selection  •  partialing out  •  cross-fit partialing out  •  double machine learning  •  continuous, binary, count, or time-to-event outcomes •  endogenous covariates  •  more

Bayesian analysis
thousands of built-in models  •  univariate and multivariate models  •  linear and nonlinear models  •  continuous, binary, ordinal, and count outcomes  •  continuous univariate, multivariate, and discrete priors  •  add your own models  •  adaptive Metropolis–Hastings sampling  •  Gibbs sampling  •  convergence diagnostics  •  posterior summaries  •  hypothesis testing  •  model comparison  •  Bayesian econometrics  •  more

Mata
matrix programming language  •  optimization  •  matrix inversions  •  decompositions  •  eigenvalues and eigenvectors  •  LAPACK engine  •  real and complex numbers  •  string matrices  •  numerical derivatives  •  object-oriented programming  •  large-scale development projects  •  more

Python integration
Interact Stata code with Python code  •  interchange data between Stata and Python  •  pass results from Python back to Stata  •  call Python libraries such as NumPy, matplotlib, Scrapy, scikit-learn, and more from Stata  •  more

Import and export data
Excel .xls and .xlsx  •  CSV  •  Haver Analytics databases  •  Federal Reserve Economic Data (FRED)  •  any ODBC data source including Oracle, SQL Server, Access, MySQL, and DB2  •  custom SQL queries through ODBC •  more

Automated reporting and customizable tables
Automated reports  •  customizable tables  •  reproducible output  •  Markdown  •  HTML  •  Word  •  PDF  •  Excel  •  LaTex  •  more