General Options

options1 Description

breakconstant break in constant

noconstant suppresses constant or pooled constant in panel model

nobreakvariables(varlist1) variables with no structural break(s)

vce(type) covariance matrix estimator, allowed: ssr, hac, hc and np

Options for unknown breakdates

options2 Description

trimming(real) minimal segment length, default is 15%

error(real) error margin for partial break model

Options for testing with unknown breakdates and hypothesis(2)

options3 Description

wdmax Use weighted test statistic instead of unweighted

level(#) set level for critical values

Options for testing with unknown breakdates and hypothesis(3)

options4 Description

sequential Sequential F-Test to obtain number of breaks

Options for panel data

options5 Description

breakfixedeffects break in fixed effects

nofixedeffects suppresses fixed effects

csd add cross-section averages (automatically)

csa(varlist2) Variables with breaks used to calculate cross-sectional averages

csanobreak(varlist3) Variables without breaks used to calculate cross-sectional averages

kfactors(varlist4) Known factors, which are constant across the cross-sectional dimension.
Examples are seasonal dummies or other observed common factors such as asset returns and oil prices.
The factors in this list are affected by structural breaks in that their loadings change.

nbkfactors(varlist5) same as above but without breaks.

Data has to be tsset or xtset before using xtbreak.
Data has to be balanced.
depvars, indepvars and varlist, varlist1 - varlist5 may contain time-series operators, see tsvarlist.

xtdcce2 requires the moremata package.