[R] Multiple Fstats/breakpoints test using Panel data

[Yen H., Tong]

Hi,

I have recently use the strucchange package in R with a single time series observation.  I found it extremely useful in the testing of change points.

Now, I am thinking of using the strucchange package with panel data (about 500 firms, with 73 monthly time series observations each).  For each firm, I have to conduct the Fstats and breakpoints tests.  Based on the test of each firm, I have to output a table/histogram with the number of times each SupF test is  significant and the frequency that a breakpoint is observed in each of the 73 months.  In summary, I have to conduct the Fstats/breakpoint test 500 times and summarize the results.  I have the 500 firms with 73 observations (approx 36,500 observations) stacked in one data file.

Is there anyone who can help mw with this?


Warm Regards,

Yen