*! version 1.0.0 03jul2026

Title

xtfmg breaks -- per-unit sup-Wald test for a structural break at
an unknown date (Andrews 1993)

Syntax

xtfmg breaks depvar indepvars [if] [in] [, options]

trim(#) trimming fraction; default trim(0.15)

plot timeline plot of the estimated break dates by unit

saving(filename) export the break-test table in journal
format (.tex, .rtf/.doc, .csv or .txt)

title(string) caption for the exported table

replace overwrite the export file if it exists

The time variable must be integer-valued (Stata date/time variables
are).

Description

For each panel unit, xtfmg breaks regresses depvar on indepvars
and a level-shift dummy D_t(tau) = 1{t > tau}, computes the Wald
statistic on the dummy for every candidate date tau in the trimmed range,
and reports the supremum together with the date at which it is attained
-- the sup-Wald test of Andrews (1993) for a single intercept break
at an unknown change point, applied unit by unit as in Table 7 of Guliyev
(2026).

Widely dispersed estimated break dates are the empirical signature of
idiosyncratic structural change -- the situation in which the
cross-sectional averages of CCEMG cannot absorb the breaks and the Fourier
augmentation of xtfmg fccemg and
xtfmg fsurmg is required. In the paper's G7
application the dates span three decades (Italy 1974 to Canada 2004).

Significance is assessed against the asymptotic critical values of Andrews
(1993; 2003 corrigendum) for one parameter and 15% trimming: 7.12 (10%),
8.68 (5%), 12.16 (1%).

Options

trim(#) sets the fraction of the sample trimmed at each end of the
candidate-date range; default 0.15. The tabulated critical values assume 15%
trimming; a note is displayed if a different value is used.

plot draws a timeline of the estimated break dates by unit (graph
xtfmg_breaks), making the dispersion of the break timing immediately
visible.

saving(filename) exports the unit / sup-Wald / break-date table in
publication format chosen by the file extension (.tex with booktabs
rules, .rtf/.doc for Word, .csv, .txt), with the
critical values and the star legend in the table notes -- the format
of Table 7 in Guliyev (2026). title(string) sets the caption;
replace permits overwriting.

Stored results

Scalars

r(N) number of units

r(cv10), r(cv5), r(cv1) critical values

Matrices

r(breaks) N x 3 matrix: sup-Wald statistic, estimated break
date, unit id

Examples

. webuse grunfeld, clear

. xtset company year

. xtfmg breaks invest mvalue kstock, plot

. matrix list r(breaks)

References

Andrews, D. W. K. 1993. Tests for parameter instability and
structural change with unknown change point. Econometrica 61: 821-856.
(Corrigendum: Econometrica 71 (2003): 395-397.)

Guliyev, H. 2026. Second-generation heterogeneous panel data model
with individual and common shocks. arXiv:2606.29063.

Author

Merwan Roudane

merwanroudane920@gmail.com

https://github.com/merwanroudane