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xtbreak: Estimation and tests for structural breaks in time series and panel data

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  • Jan Ditzen

    (Free University of Bolzano-Bozen)

Abstract

The recent events that have plagued the global economy, such as the 2008 financial crisis or the 2020 COVID-19 outbreak, hint to multiple structural breaks in economic relationships. I present xtbreak, which implements the estimation of single and multiple break points and testing for structural breaks in time series and panel data. The estimation and the tests follow the methodologies developed in Andrews (1993, Econometrica), Bai and Perron (1998, Econometrica), and Ditzen, Karavias, and Westerlund (2021). For both time-series and panel-data regressions, five tools are provided: (i) a test of no structural change against the alternative of a specific number of changes, (ii) a test of the null hypothesis of no structural change against the alternative of an unknown number of structural changes, (iii) a test of the null of s changes against the alternative of s-1 changes, (iv) consistent break date estimators, and (v) asymptotically valid confidence intervals for the break dates.

Suggested Citation

  • Jan Ditzen, 2021. "xtbreak: Estimation and tests for structural breaks in time series and panel data," 2021 Stata Conference 7, Stata Users Group.
  • Handle: RePEc:boc:scon21:7
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    File URL: http://fmwww.bc.edu/repec/scon2021/US21_Ditzen.pdf
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    Cited by:

    1. Pallavi Rajkhowa & Lukas Kornher, 2023. "Effects of electronic markets on prices, spikes in prices, and price dispersion: A case study of the tea market in India," Agribusiness, John Wiley & Sons, Ltd., vol. 39(4), pages 1117-1138, October.
    2. Cruz, Manuel David, 2023. "Labor Productivity, Real Wages, and Employment in OECD Economies," Structural Change and Economic Dynamics, Elsevier, vol. 66(C), pages 367-382.
    3. Pengyu Chen & Yiannis Karavias & Elias Tzavalis, 2022. "Panel unit-root tests with structural breaks," Stata Journal, StataCorp LP, vol. 22(3), pages 664-678, September.
    4. R, Rekha & M, Suresh Babu, 2022. "Premature deindustrialisation and growth slowdowns in middle-income countries," Structural Change and Economic Dynamics, Elsevier, vol. 62(C), pages 377-389.
    5. Moutinho, Victor & Santos de Oliveira, Helena M. & Viana Espinosa de Oliveira, Henrique & Puime Guillén, Félix, 2023. "The augmented and integrative model of economic growth: Theoretical and empirical evidence from USA," Socio-Economic Planning Sciences, Elsevier, vol. 89(C).
    6. Alexander Guzmán & Christian Pinto-Gutiérrez & María-Andrea Trujillo, 2021. "Trading Cryptocurrencies as a Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume," Mathematics, MDPI, vol. 9(15), pages 1-15, July.

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