XTBREAKCOINT: Stata module to implement the panel cointegration test with structural breaks developed by Banerjee and Carrion-i-Silvestre (2015, Journal of Applied Econometrics)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: This test accounts for: 1. Cross-sectional dependence via factor models (up to 5 common factors). 2. Heterogeneous structural breaks (level, trend, or regime shifts) estimated endogenously. 3. Common stochastic trends via the MQ test (Bai & Ng, 2004). The package is particularly useful for macro-panel research where structural breaks and cross-section dependence are concerns.

Language: Stata
Requires: Stata version 14
Keywords: panel cointegration; structural breaks (search for similar items in EconPapers)
Date: 2026-02-15
Note: This module should be installed from within Stata by typing "ssc install xtbreakcoint". 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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http://fmwww.bc.edu/repec/bocode/x/xtbreakcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreakcoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtbreakcoint_engine.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreakcoint_example.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbreakcoint_example.xlsx sample data file (text/plain)

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