Title

tc_kss -- KSS (2006) nonlinear cointegration test (ESTAR)

Syntax

tc_kss depvar indepvars [if] [in] [, case(1|2|3) maxlag(#) criterion(aic|bic)]

Description

Kapetanios-Shin-Snell-style nonlinear cointegration test based on a cubic
transformation of residuals. case(1) raw, case(2) demeaned,
case(3) detrended. Critical values from KSS (2006) /
NonlinearTSA package.

Also see

Package overview | tc_es | tc_eg | tc_bbc