Title

tc_hs -- Hansen & Seo (2002) supLM test for threshold cointegration

Syntax

tc_hs y1var y2var [if] [in] [, lag(#) beta(#) trim(#) ngrid(#)]

Description

Tests linear VECM against threshold VECM via the supremum-LM statistic.
Direct Mata port of tsDyn's TVECM.HStest. Critical values are
not tabulated for arbitrary configurations -- compare to the fixed-regressor
bootstrap CVs in Hansen & Seo (2002).

Stored results

r(sup_lm) r(threshold) r(beta_est) r(lag)
r(grid_values) r(grid_stats) (useful for tc_plot grid).

Also see

Package overview | tc_tvecm | tc_sysadl | tc_bf | tc_plot