xtbreakcoint 1.0.6

• Bug fix: the estimation did not follow Banerjee and Carrion-i-Silvestre (2015). It pooled the units in one first-differenced regression, dated the breaks by regressing residuals on a step dummy, chose the number of factors with IC2, selected ADF lags by BIC and used different MQ computations. The engine is now a port of the authors’ GAUSS replication code (factcoint_iter, factcoint, ADFRC and MQ_test): unit-by-unit cointegrating regressions in first differences, break dates by minimum SSR over the central 70% of the sample (a common break for model 5), the Bai and Ng (2002) IC1 criterion, the iteration between factors and breaks, ADF regressions without deterministic terms with general-to-specific lag selection at |t| = 1.645, and the MQ tests of Bai and Ng (2004) on the detrended factors.
• The GAUSS code dates the model 4 break by minimising the squared coefficient vector rather than the sum of squared residuals; the package uses the sum of squared residuals for every model, as described in the paper.
• Without factors, the estimated break dates agree with the Stata command xtbreakcoint (SSC) on the same data.
• Break dates in summary() are now reported as the last period of the first regime.

xtbreakcoint 1.0.5

• Corrected two DOIs in NEWS.md: Banerjee and Carrion-i-Silvestre (2015) is 10.1002/jae.2348 and Bai and Ng (2004) is 10.1111/j.1468-0262.2004.00528.x. No changes to code.

xtbreakcoint 1.0.1

Initial CRAN release.

Features

• Panel cointegration test with structural breaks following Banerjee & Carrion-i-Silvestre (2015, JAE)
• Cross-section dependence handled via common factor estimation
• Five model specifications for deterministic components
• Automatic factor number selection using Bai & Ng (2002) IC criterion
• Structural break date estimation via SSR minimization
• Individual ADF tests on defactored residuals
• Standardized panel test statistic with Monte Carlo moments
• Bai & Ng (2004) MQ test for identifying common stochastic trends
• Automatic or fixed lag selection for ADF regressions

References

• Banerjee, A., & Carrion-i-Silvestre, J. L. (2015). Cointegration in panel data with structural breaks and cross-section dependence. Journal of Applied Econometrics, 30(1), 1-22. doi:10.1002/jae.2348

• Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127-1177. doi:10.1111/j.1468-0262.2004.00528.x