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REGBREAK: Stata module to provide estimation and inference for structural breaks in the coefficients and error variance of a linear regression

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  • Merwan Roudane

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Abstract

regbreak estimates and tests for multiple structural changes in a linear regression. Two complementary procedures are provided in one command: Default (Bai & Perron 1998) - tests for breaks in the {it:regression coefficients}. It reports the Sup F tests of no break versus a fixed number of breaks, the UDmax double-maximum test, the sequential Sup F(l+1|l) tests, and the number of breaks selected by the BIC, LWZ and KT information criteria. It then estimates the selected model, giving the break dates with confidence intervals and the regime-specific coefficients with heteroskedasticity- and autocorrelation-corrected standard errors. Joint (joint) - Perron, Yamamoto & Zhou tests jointly for breaks in the error variance and the coefficients. It reports the Sup LR4 joint statistic, the marginal Sup LR / Sup LR3 (coefficient breaks given variance breaks) and Sup LR1 / Sup LR2 (variance breaks given coefficient breaks), the UDmax4 test, and the sequential SeqLR9 / SeqLR10 procedures that select the number of coefficient and variance breaks and their dates.

Suggested Citation

  • Merwan Roudane, 2026. "REGBREAK: Stata module to provide estimation and inference for structural breaks in the coefficients and error variance of a linear regression," Statistical Software Components S459806, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459806
    Note: This module should be installed from within Stata by typing "ssc install regbreak". 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/r/regbreak.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/r/regbreak.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lregbreak.mlib
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    File URL: http://fmwww.bc.edu/repec/bocode/r/regbreak_brcv.mata
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    File URL: http://fmwww.bc.edu/repec/bocode/r/regbreak_cv.mata
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    File URL: http://fmwww.bc.edu/repec/bocode/r/regbreak_driver.mata
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    File URL: http://fmwww.bc.edu/repec/bocode/r/regbreak_engine.mata
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    File URL: http://fmwww.bc.edu/repec/bocode/r/regbreak_example.do
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