How can I implement a threshold vector error correction model in Stata?

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Chuck A Arize

You can implement a threshold vector error correction model in Stata. Stata has a suite of commands for fitting, forecasting, interpreting, and performing inference on vector error-correction models (VECMs) with cointegrating variables.

Giovanni Generle

Chuck A Arize May you kindly share the name of the package/ command ? Thank you so much