References

Andrews, D. W. K. (1993).
Tests for Parameter Instability and Structural Change With Unknown Change Point.
Econometrica, 61(4), 821–856.
link.

Bai, B. Y. J., & Perron, P. (1998).
Estimating and Testing Linear Models with Multiple Structural Changes.
Econometrica, 66(1), 47–78.
link.

Bai, J., & Perron, P. (2003).
Computation and analysis of multiple structural change models.
Journal of Applied Econometrics, 18(1), 1–22.
link.

Ditzen, J., Karavias, Y. & Westerlund, J. (2021)
Testing for Multiple Structural Breaks in Panel Data.
Available upon request.

Ditzen, J., Karavias, Y. & Westerlund, J. (2021)
Testing and Estimating Structural Breaks in
Time Series and Panel Data in Stata.
arXiv:2110.14550 [econ.EM].

Working paper,
Slides Stata User Group meetings:
2020 Swiss,
2021 German,
2021 US.

Karavias, Y, Narayan P. & Westerlund, J. (2021)
Structural breaks in Interactive Effects Panels and the Stock Market Reaction to COVID–19.
arXiv:2110.03035 [econ.EM]
link.

Pesaran, H. (2006)
Estimation and inference in large heterogeneous panels with a multifactor error structure.
Econometrica, 74(4), 967-1012.
link.

Authors

Jan Ditzen (Free University of Bozen-Bolzano)

Email: jan.ditzen@unibz.it

Web: www.jan.ditzen.net

Yiannis Karavias (University of Birmingham)

Email: I.Karavias@bham.ac.uk

Web: https://sites.google.com/site/yianniskaravias/

Joakim Westerlund (Lund University)

Email: joakim.westerlund@nek.lu.se

Web: https://sites.google.com/site/perjoakimwesterlund/

Please cite as follows:

Ditzen, J, Y. Karavias and J. Westerlund. 2021. Testing and Estimating Structural Breaks in
Time Series and Panel Data in Stata. arXiv:2110.14550 [econ.EM].

How to install

The latest versions can be obtained via net from https://github.com/JanDitzen/xtbreak.

Notes

xtbreak requires Stata version 15 or higher.

Changelog

This version 1.1 - 10.01.2022

Changes 1.0 to 1.1:

- added min and max to sequential test

- bug when variable name contained "est"

- error in scaling critical values (ts + xt) and test statistic (ts + xt) when using hypothesis 3

Changes 0.02 to 1.0:

- fixed error in wdmax test. Used wrong critical values.

- added sequential F-Test and general xtbreak y x syntax.

- bug fixes in var/cov estimators.

Also see

See also: xtbreak estimate, xtbreak test, estat sbcusum, estat sbknown, estat sbsingle