Title

tc_bf -- Balke & Fomby (1997) sup-Wald threshold cointegration test

Syntax

tc_bf depvar indepvars [if] [in] [, maxlag(#) trim(#) ngrid(#) savegrid(name)]

Description

Two-step: Engle-Granger then a sup-Wald scan over n_grid candidate
thresholds. No tabulated CVs -- use the residual bootstrap of Balke &
Fomby (1997) or compare to the empirical distribution of sup-Wald under
a linear DGP.

Stored results

r(sup_wald), r(threshold), r(grid_values), r(grid_stats)

Plot

tc_plot grid plots the grid search. See tc_plot.

Also see

Package overview | tc_eg | tc_es | tc_hs | tc_plot