XTBFKBREAK: Stata module to estimate common structural breaks in heterogeneous panels with correlated common effects and (optionally) endogenous regressors

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: xtbfkbreak estimates a heterogeneous panel-data model whose slope coefficients undergo one or more common structural breaks at unknown dates, while cross-sectional dependence is generated by an unobserved multifactor error structure. It brings the two papers of Baltagi, Feng and Kao into a single command: (2016) Baltagi, Feng & Kao marry Pesaran's (2006) Common Correlated Effects (CCE) estimator to Bai's (1997, 2010) least-squares change-point estimation. Unobserved factors are partialled out with the cross-section averages of depvar and the regressors; the common break date(s) are then estimated consistently by least squares, and the regime slopes by CCE mean group. A key result is that the panel pins down the break date itself (super-consistency), not merely the break fraction. (2019) Baltagi, Feng & Kao extend this to endogenous regressors. A second endogeneity channel, Cov(eps,v)!=0, is allowed on top of the factor-induced correlation, and a break in the error-factor loadings is permitted. The break date is still estimated by OLS (which stays consistent under endogeneity, Perron & Yamamoto 2015), and the regime slopes by CCE-IV / 2SLS mean group. Because CCE wipes out the factors instead of estimating them, a break in the factor loadings needs no special treatment. Give instruments in the (endog = instruments) list to obtain the endogenous-regressor (2019) estimator; omit it for the exogenous (2016) estimator. Use nocce to drop the factor structure entirely (the papers' "Model 1"). For the algebra, see {help xtbfkbreak_methods:xtbfkbreak methods}.

Language: Stata
Requires: Stata version 14
Keywords: panel data; structural breaks; common correlated effects; endogeneity (search for similar items in EconPapers)
Date: 2026-07-11
Note: This module should be installed from within Stata by typing "ssc install xtbfkbreak". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtbfkbreak.ado
http://fmwww.bc.edu/repec/bocode/x/xtbfkbreak.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtbfkbreak_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtbfkbreak_example.do

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