Regression modelEconometrics / time series

Structural Break Random Effects Model

The structural break random effects model extends standard panel RE estimation by allowing one or more breakpoints at which slope coefficients or error variances shift across time. It combines structural change detection (e.g., Bai-Perron) with the GLS-based random effects estimator, producing regime-specific parameter estimates while retaining the efficiency gains of pooling individual-level variation as random draws from a common distribution.

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Sources

  1. Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. DOI: 10.2307/2998540
  2. Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). Wiley. ISBN: 978-0470518861

Related methods

Referenced by

ScholarGateStructural Break Random Effects Model (Random Effects Panel Model with Structural Breaks). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/structural-break-random-effects-model