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st: testing for nonlinear cointegration


From   "Seth Binder" <seth.binder@yale.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: testing for nonlinear cointegration
Date   Thu, 29 Jun 2006 18:23:49 -0400

Dear colleagues,

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
commands? 

Thanks for your help.

Seth


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