Interrupted Time Series & Structural Break Analysis

The interrupted time series model indicates a statistically significant upward pre-crisis trend in the index. At the onset of the post-crisis period, the index experiences a large and statistically significant decline in level. Although the post-crisis slope is positive, it is not statistically significant, suggesting limited evidence of a meaningful change in long-run growth dynamics. A Chow test using 2007 as the final pre-crisis breakpoint further confirms a statistically significant structural break in the series (F = 34.946, p < 0.001). Taken together, these findings suggest that the Great Recession generated a durable disruption, primarily through a persistent level loss rather than a significant shift in long-run trend.