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st: testing for nonlinear cointegration
Do any of you know of a package that has been written for a test of
nonlinear cointegration, such as the one proposed by Phillips and Hong
(Cowles Foundation, Yale University, Cowles Foundation Discussion Papers:
1541, 2005). I have searched SJ and SSC but found nothing.
Or is there a way to perform a similar test using the standard STATA
Thanks for your help.
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