XTCOMBREAK: Stata module to estimate the common break date with a confidence interval (Bai 2010) and test whether the break really is common across units (Jiang and Kurozumi 2026)

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: xtcombreak implements two complementary papers on common breaks in panel data. xtcombreak estimate implements Bai (2010). In a single time series only the break fraction can be estimated consistently; the break date cannot. Bai's result is that a panel fixes this: as N grows, P(khat = k0) -> 1, so the exact date is recovered. This holds even when a regime contains a {bf:single observation}, which makes it useful for pinning down the onset of a new regime quickly. The command estimates the date by least squares, quasi-maximum likelihood or feasible GLS, reports Bai's parameter-free confidence interval, and runs his series-by-series Chow test to say which units actually broke. xtcombreak test implements Jiang and Kurozumi (2026). Every common-break method, including Bai's, assumes the break is at the same date for all units. This is a real restriction and can fail. The command tests that assumption with a self-normalised CUSUM statistic built from OLS residuals.

Language: Stata
Requires: Stata version 14
Keywords: panel data; structural breaks; common breaks (search for similar items in EconPapers)
Date: 2026-07-17
Note: This module should be installed from within Stata by typing "ssc install xtcombreak". 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/xtcombreak.ado
http://fmwww.bc.edu/repec/bocode/x/xtcombreak.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtcombreak_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtcombreak_estimate.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtcombreak_test.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtcombreak_example.do

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