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XTBREAKMODEL: Stata module to compute heterogeneous structural breaks in panel data models

Author

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  • Merwan Roudane

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Abstract

The xtbreakmodel command estimates structural breaks in panel data regression models y_it = x'_it * beta(t) + alpha_i + epsilon_it using four state-of-the-art methods: (1) GAGFL — Grouped Adaptive Group used Lasso (Okui & Wang, 2021, Journal of Econometrics). Allows units to belong to G latent groups where each group has its own break dates and regime-specific coefficients. Simultaneously estimates group membership and group-specific structural breaks. (2) AGFL/PLS — Adaptive Group Fused Lasso for common breaks (Qian & Su, 2016, Journal of Econometrics). Assumes all units share the same break dates. Uses Block Coordinate Descent with adaptive fused L1 penalty and BIC-type information criterion for lambda selection. (3) BFK — Sequential Least Squares break detection (Baltagi, Feng & Kao, 2016, Journal of Econometrics). Detects common breaks via sequential SSR minimization across candidate break dates. (4) SaRa — Screening and Ranking Algorithm (Li, Xiao & Chen, 2025). Nonparametric approach using local kernel coefficient estimation at multiple bandwidths with median thresholding and IC-based final selection.

Suggested Citation

  • Merwan Roudane, 2026. "XTBREAKMODEL: Stata module to compute heterogeneous structural breaks in panel data models," Statistical Software Components S459655, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459655
    Note: This module should be installed from within Stata by typing "ssc install xtbreakmodel". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreakmodel.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreakmodel.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreakmodel_graph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtbreakmodel_engine.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreakmodel_example.do
    File Function: sample do-file
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