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Kevin1985
Calcite | Level 5

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

2 REPLIES 2
rselukar
SAS Employee

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.

Kevin1985
Calcite | Level 5

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.

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