Structural break even in panel data

[Farhaan Rashid]

Dear members

I would like to seek guidance regarding one methodological issue in my study. I have identified a structural break in my panel data (Indian banks, 30 banks over 15 years). To address econometric issues such as cross-sectional dependence and heterogeneity, I have employed second-generation panel estimators, namely Panel-Corrected Standard Errors (PCSE), Feasible Generalized Least Squares (FGLS), and the Common Correlated Effects (CCE) estimator.

My query is whether, after identifying a structural break, it is necessary to explicitly incorporate the break (for example, through dummy variables or sub-sample estimation) in the final model, or whether second-generation panel models inherently account for such structural changes through their treatment of cross-sectional dependence and unobserved common factors.

If second-generation models are considered sufficient to address the implications of structural breaks, I would be grateful if you could suggest appropriate references supporting this approach.

[Miklesh Yadav]

Dear Rashid,

The Panel-Corrected Standard Errors (PCSE), Feasible Generalized Least Squares (FGLS), and the Common Correlated Effects (CCE) estimator do not address the implications of the structural break points. My advice in this regard is to create a dummy variable after detecting the structural break points and employ PCSE, FGLS, and CCE. You may also run these models twice after identifying the structural break points, i.e., before and after the structural break points.

Regards 

--
The members of this group are expected to follow the following Protocols:
1. Please search previous posts in the group before posting the question.
2. Don't write the query in someone's post. Always use the option of New topic for the new question. You can do this by writing to dataanaly...@googlegroups.com
3. It’s better to give a proper subject to your post/query. It'll help others while searching.
4. Never write Open-ended queries. This group intends to help research scholars, NOT TO WORK FOR THEM.
5. Never write words like URGENT in your posts. People will help when they are free.
6. Never upload any information about National Seminars/Conferences. Send such information
in personal emails and feel free to share any RESEARCH-related information.
7. No Happy New Year, Happy Diwali, Happy Holi, Happy Birthday, Happy Anniversary, etc. allowed in this group.
8. Asking or sharing Research Papers is NOT ALLOWED.
9. You can share your questionnaire only once.
---
You received this message because you are subscribed to the Google Groups "DataAnalysis" group.
To unsubscribe from this group and stop receiving emails from it, send an email to dataanalysistrai...@googlegroups.com.
To view this discussion visit https://groups.google.com/d/msgid/dataanalysistraining/CAO7O40oQdA4ub3sKKJZxn1oUxZuezEOj8B6vEg%2B6daWw6M6yNA%40mail.gmail.com.

[Farhaan Rashid]

Sir, can you give me some idea how to create dummy in panel. I have found structural break in year 2020 and after showing the result of before and after structural break, do i have to interpret the results of before or after? 

On Sat, 27 Dec, 2025, 10:09 am Farhaan Rashid, <farhaa...@gmail.com> wrote:

Sir, can you give me some idea how to create in panel. I have found structural break in year 2020 and after showing the result of before and after structural break, do i have to interpret the results of before or after

To view this discussion visit https://groups.google.com/d/msgid/dataanalysistraining/CAH-a6mQ8Ae3YpMZf%2B3VYj81tsHOyCrQYg-%3DG1uBY%2BLxJCwg_5A%40mail.gmail.com.

[Farhaan Rashid]

Sir, can you give me some idea how to create in panel. I have found structural break in year 2020 and after showing the result of before and after structural break, do i have to interpret the results of before or after

On Sat, 27 Dec, 2025, 9:09 am Miklesh Yadav, <mikl...@gmail.com> wrote:

To view this discussion visit https://groups.google.com/d/msgid/dataanalysistraining/CAH-a6mQ8Ae3YpMZf%2B3VYj81tsHOyCrQYg-%3DG1uBY%2BLxJCwg_5A%40mail.gmail.com.

[Miklesh Yadav]

Dear Rashid,

If you divide your entire data into two parts, mentioning a certain structural break year, you have to interpret both results (before as well as after).

Regards

To view this discussion visit https://groups.google.com/d/msgid/dataanalysistraining/CAO7O40oO9QEy2z7qpBe1hEroSPN3YBj7_5wFXtU4SLQYJoNOvg%40mail.gmail.com.

[Farhaan Rashid]

Sir, i have created a dummy. After creating dummy i have found little change in coefficient s and intercept and one independent variable insignificant, before it was significant. Now, do i have to interpret the dummy model or both? 

To view this discussion visit https://groups.google.com/d/msgid/dataanalysistraining/CAH-a6mQOLhPw2dgoGuaOA8Hmuzqpa%2BQKA1wW%3DmyWQH93nGvu2w%40mail.gmail.com.

[Miklesh Yadav]

you have to report all the coefficients along with the dummy variable.

Regards

To view this discussion visit https://groups.google.com/d/msgid/dataanalysistraining/CAO7O40pgH%2BniOdnVyxHWpEbZVR14U9K4pQr%3DOV1HM3mHBywoRw%40mail.gmail.com.