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ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect


  • Tom Doan

    () (Estima)


Does various types of the unit root regressions with threshold breaks on the residuals from an Engle-Granger cointegrating regression. Enders and Siklos(2001), "Cointegration and Threshold Adjustment," JBES, vol. 19, no. 2, 166-76.

Suggested Citation

  • Tom Doan, "undated". "ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect," Statistical Software Components RTS00064, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00064
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    Cointegration; Threshold;


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