Title

tc_glsmtar -- Cook (2007) GLS-MTAR threshold cointegration test

Syntax

tc_glsmtar depvar indepvars [if] [in] [, threshold(#) maxlag(#) case(c|ct) criterion(aic|bic) cbar(#)]

Description

Augments the Enders-Siklos MTAR test with GLS local-to-unity detrending
of cointegrating residuals (Elliott-Rothenberg-Stock 1996), yielding
substantially higher power. Uses Cook's (2007) finite-sample critical
values (interpolated by sample size T).

Options

case(c|ct) c: c̄ = -7 (default). ct: c̄ = -13.5.

threshold(#) MTAR threshold (default 0)

cbar(#) override default c̄

Example

tc_glsmtar ln_inv ln_inc, case(c)

Also see

Package overview | tc_es | tc_exes | tc_covaug | tc_supf | tc_compare