I have a panel data N=45 T=25. Engle-Granger test confirms co-integration between two I(1) variables. I would like to test for threshold cointegration between these two vars. Is there a user written command for Stata (my version is 14.1) that conducts this test? This test should allow to capture asymmetries in the adjustment, (i.e. positive or negative deviations from the long-run equ. won’t necessarily be corrected in the same manner). Thanks, Anat
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$\begingroup$ I am not aware of code written in STATA, but you could use the R package tsDyn which implements several tools for this. Apparently, you can also call R from within STATA. $\endgroup$– MatifouMay 26, 2016 at 0:56
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$\begingroup$ Once you have the cointegration vector, building a VECM manually as a pair of linear regressions is quite easy. Just put the lagged differences and the error correction term (or thresholds thereof) in as the right-hand-side variables. $\endgroup$– Richard HardyMay 26, 2016 at 6:56
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$\begingroup$ Matifou and Richard Hardy, thank you both very much!. I'm not sure how to call R from within Stata, any hint might help. Anat $\endgroup$– Anat TchetchikMay 26, 2016 at 22:00
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I found this page with an example on how to use R in stata. Hope it helps. I have never used R in Stata. https://staffblogs.le.ac.uk/bayeswithstata/2014/09/26/using-r-with-stata-part-ii/
