Testing and estimating structural breaks in time series and panel data in Stata

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

Stata Journal, 2025, vol. 25, issue 3, 526-560

Abstract: Identifying structural change is a crucial step when analyzing time series and panel data. The longer the time span, the higher the likelihood that the model parameters have changed because of major disruptive events such as the 2007–2008 financial crisis and the 2020 COVID-19 outbreak. Detecting the existence of breaks and dating them is therefore necessary for not only estima- tion but also understanding drivers of change and their effect on relationships. In this article, we introduce a new community-contributed command called xtbreak, which provides researchers with a complete toolbox for analyzing multiple struc- tural breaks in time series and panel data. xtbreak can detect the existence of breaks, determine their number and location, and provide break-date confidence intervals. We use xtbreak in examples to explore changes in the relationship be- tween COVID-19 cases and deaths in the US using both aggregate and state-level data and in the relationship between approval ratings and consumer confidence using a panel of eight countries.

Keywords: xtbreak; structural breaks; change points; time-series data; panel data; interactive fixed effects; cross-sectional dependence (search for similar items in EconPapers)
Date: 2025
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Related works:
Working Paper: Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata (2025)
Working Paper: Testing and estimating structural breaks in time series and panel data in Stata (2025)
Working Paper: Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata (2021)
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