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).
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.
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