st: testing for nonlinear cointegration

["Seth Binder" <seth.binder@yale.edu>]

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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