Abstract
The main goal of this paper is to present an analysis of financial quarterly time series describing the level of book leverage of U.S. companies selected from different industries in the period 1991-2014. The basic question is whether the sub-prime crisis 2007-2008 caused a change in the behavior of the respective companies.
More generally, we are interested whether the time series may be considered stationary. Statistical methods suitable for the detection of breaks (changes) for individual and panel data are presented together with their pros and cons.
Against our expectations, the analysis did not reveal a significant change due to the sub-prime crisis. On the other hand, all series contain at least one change, most of the changes occurring around the year 2000, thus offering room for an economic explanation.(3)