Bai and Perron (1998) test

[Daniela Mancini]

Dear all,

I have to test if there are any unknown structural breaks in my panel data. I want to use Bai-Perron (1998) test, but I do not which is the right command that enebles to implent it on Stata 15.0. Any suggestions?

Thank you in advance!

Daniela Mancini

[Phil Bromiley]

https://www.stata.com/statalist/arch.../msg00318.html
https://www.stata.com/meeting/6nasug...eamer.7727.pdf
http://fmwww.bc.edu/cfb/stata/TStalkJan2009.beamer.pdf

The second and third suggest there are more powerful tests and shows how to do them.

[Daniela Mancini]

Thank you Phil for your reply!

As far as I understood, all these tests concern time-series data but I have a panel data. Therefore, I would like to know if I can use them and how, in Stata, since most of these tests require me to "tsset" my data.

The first link refers to the Bai-Perron test that I need to use but they say that it is possible to implent it in R or Eviews. Does it mean that it is not possible to implent it in Stata?

This is what I have understood, please let me know if I am wrong.

Daniela Mancini