Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30726
Title: Testing and estimating structural breaks in time series and panel data in Stata
Authors: Ditzen, J
Karavias, Y
Westerlund, J
Keywords: structural breaks;change points;time series data;panel data;interactive fixed effects;cross-section dependence;xtbreak;st0781
Issue Date: 26-Aug-2025
Publisher: SAGE Publications on behalf of Stats Press
Citation: Ditzen, J., Karavias, Y. and Westerlund, J. (2025) 'Testing and estimating structural breaks in time series and panel data in Stata', The Stata Journal, 25 (3), pp. 526 - 560. doi: 10.1177/1536867X251365449.
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 estimation 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 structural 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 between 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.
Description: Supplementary Material is available online under a Creative Commons License at: https://journals.sagepub.com/doi/10.1177/1536867X251365449#supplementary-materials .
Howto install: The latest version of the xtbreak package can be obtained by typing the following in Stata: net from https://janditzen.github.io/xtbreak/ Updates and further documentation can be found on GitHub.
A preprint version of the article is available at arXiv:2110.14550v3 [econ.EM], https://arxiv.org/abs/2110.14550 ([v3] Wed, 22 Jan 2025 09:53:16 UTC (538 KB)). It has not been certified by peer review.
URI: https://bura.brunel.ac.uk/handle/2438/30726
DOI: https://doi.org/10.1177/1536867X251365449
ISSN: 1536-867X
Other Identifiers: ORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537
arXiv:2110.14550v3 [econ.EM]
Appears in Collections:Dept of Economics and Finance Research Papers

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