Title

tc_adlbdm -- ADL-BDM threshold cointegration test (Li & Lee 2010)

Syntax

tc_adlbdm depvar indepvars [if] [in] [, maxlag(#) trim(#) ngrid(#) case(c|ct)]

Description

ADL-based threshold cointegration test that does not require the
cointegrating vector to be pre-specified. Statistic is the sup-|t| on the
lagged regressand across a grid of threshold values (BDM-style). Bundles
finite-sample CVs for m = 1-4 regressors.

Stored results

r(sup_t), r(threshold), r(cv)

Also see

Package overview | tc_adlbo | tc_sysadl | tc_es