*! v1.0 Enders-Siklos help

Title

tc_es -- Enders & Siklos (2001) TAR / MTAR threshold cointegration test

Syntax

tc_es depvar indepvars [if] [in] [, model(tar|mtar) threshold(#) maxlag(#) criterion(aic|bic) case(nc|c|ct)]

Description

Step 1 estimates the static cointegrating regression of depvar on indepvars.
Step 2 fits an asymmetric AR equation on the residuals:

Δê_t = ρ_1·I_t·ê_{} + ρ_2·(1-I_t)·ê_{} + Σγ_j·Δê_{} + ε_t

where I_t = 1{(ê_{}>=τ)} for model(tar) and I_t = 1{(Δê_{}>=τ)} for model(mtar).

H0: ρ1 = ρ2 = 0 (no cointegration). The Φ statistic = (t2ρ1+t2ρ2)/2 is compared
to Enders-Siklos critical values, included internally. An F-test for ρ1=ρ2 (symmetric adjustment) is also reported.

Options

model(tar|mtar) TAR or M-TAR (default mtar)

threshold(#) threshold τ (default 0)

maxlag(#) maximum augmentation lag (default 8)

criterion(aic|bic) lag-selection rule (default aic)

case(nc|c|ct) deterministic terms (default c)

Stored results

r(phi_stat) r(rho1) r(rho2) r(t_rho1) r(t_rho2)
r(f_asymmetry) r(threshold) r(lags) r(nregime1) r(nregime2)
r(cv) r(conclusion)

Example

tc_es ln_inv ln_inc, model(mtar) maxlag(6)

Author

Dr Merwan Roudane -- see Package overview.

Also see

Package overview | tc_glsmtar | tc_exes | tc_covaug | tc_supf | tc_bf | tc_tar | tc_plot