Title

tc_exes -- Extended Enders-Siklos test (Osinska & Galecki 2022)

Syntax

tc_exes depvar indepvars [if] [in] [, model(tar|mtar) maxlag(#) trim(#) criterion(aic|bic) threshvar(varname)]

Description

Uses an individual stationary variable (default: Δx1) as the threshold
variable instead of the ECM residual. Optimal threshold is selected by
grid search maximising the Φ statistic over [trim, 1-trim] quantiles.

Stored results

r(sup_phi) r(threshold) r(rho1) r(rho2)
r(t_rho1) r(t_rho2) r(f_asymmetry)

Also see

Package overview | tc_es | tc_glsmtar | tc_covaug | tc_bf