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Re: st: Test for structural break in panel


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for structural break in panel
Date   Sat, 10 Mar 2012 10:51:56 +0000

If there is a genuine structural break affecting all or most of a
panel at the same (calendar) time, won't it be apparent from -probit
response time-, pooling all panels? That could be re-parametrised in
terms of year at which predicted response is 0.5, could it not?
Alternatively, smooth the pattern of responses to see where an
inflexion may most plausibly be identified.

Nick

On Sat, Mar 10, 2012 at 9:45 AM, Christoph Engel <engel@coll.mpg.de> wrote:
> Dear David,
>
> Do you have a theoretical reason to expect that the time trend has a kink at
> one point, for the entire panel? Then you could simply (1) generate a dummy
> that is 1 for all observations after the expected point in time (2) control
> for time, the dummy, and time interacted with the dummy. If the interaction
> term is significant, this shows that there is indeed the expected kink.
>
> Christoph
>
> Am 3/10/2012 10:22 AM, schrieb David Ashcraft:
>>
>> I am wondering, if someone can help me in how to know the structural break
>> in panel data. I believe I can do that by incorporating dummy variables in
>> my regression. Unfortunately, I am running a probit regression and dummy
>> year variables are almost same for each year resulting in omitting
>> variables. I have looked in the previous posting and found the following:
>>
>> http://www.stata.com/statalist/archive/2008-09/msg00783.html
>>
>>
>> I believe, this is quite common analysis with panel data. There may be
>> some command/user written program that can help me with this.
>> I shall really appreciate any support
>> Regards
>>
>>
>> David
>>
>> *
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>>
>
>
> --
> _________________________________________________________________
> Prof. Dr. Christoph Engel
> Max-Planck-Institut zur
> Erforschung von Gemeinschaftsgütern
> Max Planck Institute for Research on Collective Goods
> Kurt-Schumacher-Strasse 10
> D 53113 Bonn
> Tel. +49/228/91416-10
> Fax +49/228/91416-11
> e-mail:engel@coll.mpg.de
> http://www.coll.mpg.de
> http://www.coll.mpg.de/engel.html
> http://ideas.repec.org/e/pen22.html
> http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=251559
> _________________________________________________________________
>
> *
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*
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