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

Author

Listed:
  • Jan Ditzen

    (Free University of Bozen-Bolzano)

  • Yiannis Karavias

    (University of Birmingham)

  • Joakim Westerlund

    (Lund University)

Programming Language

Stata

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).

Suggested Citation

  • Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2021. "XTBREAK: Stata module for detecting and dating multiple structural breaks in time series and panel data," Statistical Software Components S459010, Boston College Department of Economics, revised 13 Jan 2022.
    • Handle: RePEc:boc:bocode:s459010
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_auxiliary.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_estimate.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_tests.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_about.ihlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_estimate.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_options_detail.ihlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_options.ihlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_PanelVarCov.ihlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_tests.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtbreak.mlib
    File Function: Mata object library
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbreak_example.do
    File Function: sample do-file
    Download Restriction: no
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