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XTKPYBREAK: Stata module to perform CCE estimation under non-stationary common factors and multiple structural breaks in non-stationary heterogeneous panels

Author

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  • Merwan Roudane

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Abstract

xtkpybreak implements two closely related methodologies for non-stationary heterogeneous panels in which cross-sectional dependence is generated by a small number of unobserved common factors that may follow unit-root (I(1)) processes: 1. CCE under I(1) factors - Kapetanios, Pesaran & Yamagata (2011, Journal of Econometrics) show that Pesaran's (2006) Common Correlated Effects idea - proxy the unobserved factors by cross-section averages of the observables and add them as regressors - remains valid when the factors are I(1). The Common Correlated Effects Mean-Group (CCEMG) and Pooled (CCEP) estimators of the mean slope have the same limiting form and the same variance estimators as in the stationary case. Use xtkpybreak cce. 2. Multiple structural breaks - Baltagi, Feng & Wang (2025, Econometric Reviews) build on KPY: because the factor proxy survives I(1) factors, unobserved factors can be treated as extra regressors, and breaks in slopes and in error-factor loadings become ordinary breaks in a linear regression. Break points are estimated jointly by least squares using the Bai & Perron (1998, 2003) dynamic-programming algorithm; the regime slopes are then estimated by (partitioned) CCE. Use xtkpybreak break.

Suggested Citation

  • Merwan Roudane, 2026. "XTKPYBREAK: Stata module to perform CCE estimation under non-stationary common factors and multiple structural breaks in non-stationary heterogeneous panels," Statistical Software Components S459787, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459787
    Note: This module should be installed from within Stata by typing "ssc install xtkpybreak". 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/xtkpybreak.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtkpybreak.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtkpybreak_break.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtkpybreak_cce.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtkpybreak_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtkpybreak_postestimation.sthlp
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