Title

tc_supf -- Schweikert (2019) supF* -- threshold cointegration with structural break

Syntax

tc_supf depvar indepvars [if] [in] [, model(tar|mtar) breaktype(#) maxlag(#) threshold(#) u(#) trim(#) criterion(aic|bic)]

Description

Direct port of the original supF.r routine from the SNDE supplement.
Performs threshold cointegration testing robust to structural breaks
in the long-run relationship.

Break types

breaktype(1) no break (standard E-S)

breaktype(2) C0 -- intercept shift

breaktype(3) C/T -- trend shift

breaktype(4) C/S -- slope shift

When breaktype>1, the breakpoint is searched within
[trim·T, (1-trim)·T]. The supremum of the Φ statistic over the
breakpoint grid is reported as F*.

Example

tc_supf ln_inv ln_inc, breaktype(4) maxlag(4) model(tar)

Also see

Package overview | tc_es | tc_glsmtar | tc_bf | tc_compare