THRESHCOINT: Stata module to execute threshold cointegration tests and models

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: threshcoint is a Stata implementation of every major threshold cointegration test and model from the econometrics literature. All numerics run in Mata. No bootstrap is required for the tabulated tests -- asymptotic / finite-sample critical values are bundled. The library is a direct port of the Python threshcoint library by Dr Merwan Roudane and consolidates methods from twelve academic papers and three R packages (tsDyn, NonlinearTSA, plus the original supF.r script).

Language: Stata
Requires: Stata version 14
Keywords: cointegration; threshold; tests (search for similar items in EconPapers)
Date: 2026-05-18, Revised 2026-05-19
Note: This module should be installed from within Stata by typing "ssc install threshcoint". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/t/threshcoint.ado
http://fmwww.bc.edu/repec/bocode/t/threshcoint.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_adf.ado
http://fmwww.bc.edu/repec/bocode/t/tc_adlbdm.ado
http://fmwww.bc.edu/repec/bocode/t/tc_adlbo.ado
http://fmwww.bc.edu/repec/bocode/t/tc_bbc.ado
http://fmwww.bc.edu/repec/bocode/t/tc_bf.ado
http://fmwww.bc.edu/repec/bocode/t/tc_compare.ado
http://fmwww.bc.edu/repec/bocode/t/tc_covaug.ado
http://fmwww.bc.edu/repec/bocode/t/tc_eg.ado
http://fmwww.bc.edu/repec/bocode/t/tc_eqtar.ado
http://fmwww.bc.edu/repec/bocode/t/tc_es.ado
http://fmwww.bc.edu/repec/bocode/t/tc_exes.ado
http://fmwww.bc.edu/repec/bocode/t/tc_glsmtar.ado
http://fmwww.bc.edu/repec/bocode/t/tc_hs.ado
http://fmwww.bc.edu/repec/bocode/t/tc_kss.ado
http://fmwww.bc.edu/repec/bocode/t/tc_plot.ado
http://fmwww.bc.edu/repec/bocode/t/tc_pp.ado
http://fmwww.bc.edu/repec/bocode/t/tc_setar.ado
http://fmwww.bc.edu/repec/bocode/t/tc_supf.ado
http://fmwww.bc.edu/repec/bocode/t/tc_sysadl.ado
http://fmwww.bc.edu/repec/bocode/t/tc_tar.ado
http://fmwww.bc.edu/repec/bocode/t/tc_tvecm.ado
http://fmwww.bc.edu/repec/bocode/_/_tc_load.ado
http://fmwww.bc.edu/repec/bocode/_/_threshcoint_mata.mata
http://fmwww.bc.edu/repec/bocode/t/tc_adf.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_adlbdm.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_adlbo.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_bbc.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_bf.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_compare.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_covaug.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_eg.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_eqtar.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_es.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_exes.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_glsmtar.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_hs.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_kss.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_plot.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_pp.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_setar.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_supf.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_sysadl.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_tar.sthlp
http://fmwww.bc.edu/repec/bocode/t/tc_tvecm.sthlp
http://fmwww.bc.edu/repec/bocode/t/threshcoint_demo.do
http://fmwww.bc.edu/repec/bocode/t/threshcoint_diagnose.do
http://fmwww.bc.edu/repec/bocode/c/campbell.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/c/ccr.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/stockwatson.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/sw93.dta sample data file (application/x-stata)

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