XTBREAK: Stata module for detecting and dating multiple structural breaks in time series and panel data

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

Statistical Software Components from Boston College Department of Economics

Abstract: xtbreak provides researchers with a complete toolbox for analysing multiple structural breaks in time series and panel data as discussed in Bai & Perron (1998, 2003), Karavias, Narayan, Westerlund (2021) and Ditzen, Karavias, Westerlund (2021). xtbreak can detect the existence of breaks, determine their number and location, and provide break date confidence intervals. The number and period of occurrence of structural breaks can be known and unknown. In the case of a known breakpoint xtbreak can test if the break occurs at a specific point in time. For unknown breaks, three different hypothesises are implemented. The first is no break against the alternative of s breaks, the second hypothesis is no breaks against a lower and upper limit of breaks. The last hypothesis tests the null of s breaks against the alternative of one more break (s+1).

Language: Stata
Requires: Stata version 15.1
Keywords: structural breaks; time series; panel data (search for similar items in EconPapers)
Date: 2021-10-27, Revised 2025-01-22
Note: This module should be installed from within Stata by typing "ssc install xtbreak". 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/xtbreak.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_auxiliary.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_estimate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_tests.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_about.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_estimate.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_options_detail.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_options.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_PanelVarCov.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_tests.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lxtbreak.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/x/xtbreak_example.do sample do-file (text/plain)

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