Title

tc_sysadl -- System-equation ADL threshold cointegration test (Li 2016)

Syntax

tc_sysadl varlist [if] [in] [, lag(#) trim(#) ngrid(#) case(c|ct)]

Description

System-equation extension of the ADL test of Li (2016) that does not
require weak exogeneity. Reports the sup-Wald statistic over the
threshold grid summed across equations. No tabulated CVs -- use bootstrap
or compare to Li (2016) tables.

Also see

Package overview | tc_adlbdm | tc_adlbo | tc_hs | tc_tvecm