topic Re: Detecting structural breaks when using Panel data in SAS Forecasting and Econometrics

Detecting structural breaks when using Panel data

Kevin1985 — Thu, 01 Feb 2018 15:04:50 GMT

Hi Guys,

I am trying to find a method of detecting structural breaks (more than one) when using panel data. I do not know the timing of the breaks. In fact this is exactly the point of my research, to find out when the breaks occur. I have found some evidence that SAS could help me with this (please see link below or find attached).

Can anyone help me?

http://support.sas.com/resources/papers/proceedings17/SAS0456-2017.pdf

Thanks

Re: Detecting structural breaks when using Panel data

rselukar — Thu, 01 Feb 2018 22:31:46 GMT

I have written the article you mention. Coincidentally, someone from Ireland also e-mailed me the same question today. This article describes a state space model based structural break detection methodology for time series and panel of time series. I can provide some syntax help if you have access to PROC SSM (part of SAS/ETS). Both the timings and types of breaks can be discovered if the data can be modeled by state space models.

Re: Detecting structural breaks when using Panel data

Kevin1985 — Thu, 01 Feb 2018 23:07:53 GMT

Hi there,

I am the guy from Ireland that emailed you. All good know. I'll get access to PROC SSM and get back to you. Thank you.