XTCBC: Stata module to compute Coefficient-by-Coefficient Breaks in Panel Data Models

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtcbc implements the Coefficient-by-Coefficient Lasso (CBCL) break estimator proposed by Kaddoura (2025, Journal of Econometrics). Unlike traditional vector-break methods where all regression coefficients share the same break dates, xtcbc allows each coefficient to have its own number and location of structural breaks. The estimator uses an adaptive L1 fused penalty with data-driven tuning via a BIC-type information criterion, and computes post-selection regime-specific estimates with standard errors for inference. Designed for large N, fixed T panel data.

Language: Stata
Requires: Stata version 14
Keywords: panel data; structural breaks (search for similar items in EconPapers)
Date: 2026-03-29
Note: This module should be installed from within Stata by typing "ssc install xtcbc". 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/xtcbc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcbc.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcbc_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtcbc_engine.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcbc_example.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcbc_test.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcbc_demo.do sample do-file (text/plain)

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