Just found an easy way to include figures from Stata into Latex by converting Stata-figures to PDF-files first. Just use the following codes:
global infile="FOLDER_TO_SAVE_FIGURES"
twoway (ANY_GRAPHIC_COMMAND)
gr export "$infile/FILENAME.eps", as(eps) preview(off) replace
!epstopdf "$infile/FILENAME.eps"
That saves FILENAME.pdf into folder defined in the global infile
(most probably MikTex needs to be installed for that).
In Latex, simply use the following code:
\begin{figure}[H]
\caption{ANYTITLE}\label{fig1}
\begin{center}
\includegraphics[height=5in,angle=90]{infile/FILENAME.pdf}
\end{center}
\end{figure}
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