Some econometrics papers might be accompanied by (for example) an R or Stata package…

First, packages on CRAN and the Statistical Software Components can be cited. AEA citation guidance is currently silent on software components, but it is not wrong to cite them, and other disciplines do it regularly. CRAN in fact has elements of a “proper archive” (SSC does NOT). All R packages can generate a (Bibtex) citation.

Second, it is possible to submit such packages to various journals, where they are reviewed and published with DOI: - R Journal - Stata Journal - Journal of Statistical Software