*@M_TAR_TREND  series start end  resids
*
* Computes the Momentum-TAR unit root test. References:
*   Enders, W. and Granger C.W.J (1998), "Unit-root Tests and Asymmetric Adjustment with an Example Using
*    the Term Structure of Interest Rates", Journal of Business and Economic Statistics, 16, 304-311
*   Enders, W.(2001) "Improved critical values for the Enders-Granger unit-root test", Applied Economic
*    Letters, 8, 257-261
*
* Options:
*    Model=[MTAR]/TAR; This determines whether the Threshold Autoregressive or Momentum-TAR unit root
*      test is computed
*    LAGS=number of additional lags [0] ; LAGS indicates the degree of AR polynomial on the differences
*      to include in the regressions
*    Method=[CONSISTENT]/KNOWN; These determine whether a consistent estimate as of Chan's method (1993)
*      or the sample mean are used for estimation of the threshold.
*
*   The procedure offers the possibility of saving the residuals for diagnostic checking.
*
*
*  March 2007, Written by: Walter Enders and Razvan Pascalau, University of Alabama
*             rpascala@cba.ua.edu
*  Note: This procedure sets the linear attractor as a liner trend (and not as a level). 
*
procedure M_TAR_TREND series1 start end resids
type series series1  *resids
type integer start end
*
option choice  model 1 MTAR TAR
option choice  method 1 consistent known
option integer lags 0
option switch print 1
*
local series  y yy dy dyy resids
local integer v1 v2  nobs
local rectangular[real] known consistent knownt consistentt
*
inquire(series=series1) v1>>start v2>>end
*
DIMENSION Known(3,13) Consistent(3,13) Knownt(3,4) Consistentt(3,13)

* critical values at 90%, 95%, 97.5%, 99%  (table 1 & 2 p. 259)

compute Known       = ||  50 , 5.92 , 7.08 , 8.23 , 9.73  $
                       | 100 , 5.74 , 6.81 , 7.86 , 9.18  $
                       | 250 , 5.64 , 6.64 , 7.63 , 8.80  $
                       ||
compute Consistent  = ||  50 , 3.35 , 4.19 , 5.05 , 6.21  $
                       | 100 , 3.25 , 4.05 , 4.82 , 5.81  $
                       | 250 , 3.24 , 4.00 , 4.72 , 5.67  $
                       ||
compute Knownt      = ||  50 , 5.39 , 6.52 , 7.60 , 9.04  $
                       | 100 , 5.29 , 6.31 , 7.31 , 8.62  $
                       | 250 , 5.20 , 6.16 , 7.10 , 8.26  $
                       ||
compute Consistentt = ||  50 , 4.84 , 6.18 , 7.69 , 9.90  $
                       | 100 , 4.52 , 5.60 , 6.74 , 8.48  $
                       | 250 , 4.37 , 5.30 , 6.26 , 7.54  $
                       ||

set time = t
*
if model.eq.2 {
 *
 if method.eq.2 {
 linreg(noprint,entries=2) series1 v1 v2  y ; # constant time ; *detrend the series
 if print {
 dis 'Intercept =' %beta(1) 'Slope =' %beta(2)
 }
 set flag = %if(y{1}<0,0,1)
 set yplus = flag*y{1}
 set yminus = (1-flag)*y{1}
 *
  dif y v1+1 v2 dy
  if lags {
  linreg dy v1+lags+1 v2 resids ; # yplus yminus  dy{1 to lags}
    }
  else {
  linreg dy v1+1 v2 resids ; # yplus yminus
  }
  if print {
  display
  display 'TAR Unit Root Test, Series' %l(series1)
  display 'Regression Run From' %datelabel(v1+lags+1) 'to' %datelabel(v2)
  *
  exclude
  # yplus yminus
  display '---------------------------------------------------------'
  display '                      With known threshold               '
  display '---------------------------------------------------------'

  compute f = %cdstat
  compute nobs = %nobs + 1
display 'critical values at' @20 '90%' @28 '95%' @36 '97.5%' @44 '99%'
    if nobs<100
     display @3 'for 50 obs.' @19 #.## knownt(1,2) @27 #.## knownt(1,3) @36 #.## knownt(1,4) $
          @43 #.## knownt(1,5)
    if nobs>100.and.nobs<250
     display @3 'for 100 obs.' @19 #.## knownt(2,2) @27 #.## knownt(2,3) @36 #.## knownt(2,4) $
          @43 #.## knownt(2,5)
    if nobs>250
     display @3 'for 250 obs.' @19 #.## knownt(3,2) @27 #.## knownt(3,3) @36 #.## knownt(3,4) $
          @43 #.## knownt(3,5)
     * now test rho1 = rho2
     display '-----------------------------------------------------------------------'
     display 'Perform the test for symmetric adjustment(rho1=rho2)'
     restrict 1
     # 1 2
     # 1 -1 0
     }
    }
 else if method.eq.1 {
 compute rss_test = 1000000.0
*
 dif series1 v1+1 v2 dseries1
 set thresh_test1 = dseries1
 order thresh_test1
 compute low = v1 + 1 + fix(%nobs*.15), high = v2 - fix(%nobs*0.15)
*
 compute thresh1 = thresh_test1(low)
 do ii = low,high
 set yy = dseries1 - thresh_test1(ii)
 dif yy v1+2 v2 dyy
 set flag = %if(yy{1}<0,0,1)
 set y_plus = flag*yy{1}
 set y_minus = (1-flag)*yy{1}
 linreg(noprint) dyy v1+2 v2
 # y_plus y_minus
 if %rss < rss_test {
 compute rss_test = %rss
 compute thresh1 = thresh_test1(ii)
 }
 end do ii
*
 compute rss_test2 = 1000000.0
 set thresh_test0 = series1 - thresh1*t
 order thresh_test0
*
 compute thresh0 = thresh_test0(low)
 do ii = low,high
 set yyy = series1 - thresh_test0(ii)
 dif yyy v1+2 v2 dyyy
 set flag = %if(yyy{1}<0,0,1)
 set yy_plus = flag*yyy{1}
 set yy_minus = (1-flag)*yyy{1}
 linreg(noprint) dyyy v1+2 v2
 # yy_plus yy_minus
 if %rss < rss_test2 {
 compute rss_test2 = %rss
 compute thresh0 = thresh_test0(ii)
 }
 end do ii
 if print {
 dis 'Intercept =' thresh0  'Slope =' thresh1
 }
 *
 set yy = series1 - thresh0 - thresh1*t
 set flag = %if(yy{1}<0,0,1)
 set y_plus = flag*yy{1}
 set y_minus = (1-flag)*yy{1}
 *
  dif yy v1+1 v2 dyy
  if lags {
  linreg dyy v1+lags+1 v2 resids ; # y_plus y_minus  dyy{1 to lags}
  }
  else {
  linreg dyy v1+1 v2 resids ; # y_plus y_minus
  }
  if print {
  display
  display 'TAR Unit Root Test, Series' %l(series1)
  display 'Regression Run From' %datelabel(v1+lags+1) 'to' %datelabel(v2)
  exclude
  # y_plus y_minus
  display '---------------------------------------------------------'
  display '                  With consistent threshold              '
  display '---------------------------------------------------------'

  compute f = %cdstat
  compute nobs = %nobs + 1
display 'critical values at' @20 '90%' @28 '95%' @36 '97.5%' @44 '99%'
    if nobs<100
     display @3 'for 50 obs.' @19 #.## consistentt(1,2) @27 #.## consistentt(1,3) @36 #.## consistentt(1,4) $
          @43 #.## consistentt(1,5)
    if nobs>100.and.nobs<250
     display @3 'for 100 obs.' @19 #.## consistentt(2,2) @27 #.## consistentt(2,3) @36 #.## consistentt(2,4) $
          @43 #.## consistentt(2,5)
    if nobs>250
     display @3 'for 250 obs.' @19 #.## consistentt(3,2) @27 #.## consistentt(3,3) @36 #.## consistentt(3,4) $
          @43 #.## consistentt(3,5)
     * now test rho1 = rho2
     display '-----------------------------------------------------------------------'
     display 'Perform the test for symmetric adjustment(rho1=rho2)'
     restrict 1
     # 1 2
     # 1 -1 0
     	  }
        }
      }
 else if model.eq.1 {
 if method.eq.2 {
 linreg(noprint,entries=2) series1 v1 v2  y ; # constant time ; *detrend the series
 if print {
 dis 'Intercept =' %beta(1) 'Slope =' %beta(2)
 }
 dif y v1+1 v2 dy
 set flag = %if(dy{1}<0,0,1)
 set yplus = flag*y{1}
 set yminus = (1-flag)*y{1}
 *
 if lags {
  linreg dy v1+lags+1 v2 resids ; # yplus yminus  dy{1 to lags}
  }
  else {
  linreg dy v1+1 v2 resids ; # yplus yminus
    }
  if print {
  display
  display 'M-TAR Unit Root Test, Series' %l(series1)
  display 'Regression Run From' %datelabel(v1+lags+1) 'to' %datelabel(v2)
  *
  exclude
  # yplus yminus
  display '---------------------------------------------------------'
  display '                        With known threshold             '
  display '---------------------------------------------------------'

  compute f = %cdstat
  compute nobs = %nobs + 1
display 'critical values at' @20 '90%' @28 '95%' @36 '97.5%' @44 '99%'
    if nobs<100
     display @3 'for 50 obs.' @19 #.## known(1,2) @27 #.## known(1,3) @36 #.## known(1,4) $
          @43 #.## known(1,5)
    if nobs>100.and.nobs<250
     display @3 'for 100 obs.' @19 #.## known(2,2) @27 #.## known(2,3) @36 #.## known(2,4) $
          @43 #.## known(2,5)
    if nobs>250
     display @3 'for 250 obs.' @19 #.## known(3,2) @27 #.## known(3,3) @36 #.## known(3,4) $
          @43 #.## known(3,5)
     * now test rho1 = rho2
     display '-----------------------------------------------------------------------'
     disply 'Perform the test for symmetric adjustment(rho1=rho2)'
     restrict 1
     # 1 2
     # 1 -1 0
     	}
      }
 else if method.eq.1 {
 compute rss_test = 1000000.0
*
 dif series1 v1+1 v2 dseries1
 set thresh_test1 = dseries1
 order thresh_test1
 compute low = v1 + 1 + fix(%nobs*.15), high = v2 - fix(%nobs*0.15)
*
 compute thresh1 = thresh_test1(low)
 do ii = low,high
 set yy = dseries1 - thresh_test1(ii)
 dif yy v1+2 v2 dyy
 set flag = %if(dyy{1}<0,0,1)
 set y_plus = flag*yy{1}
 set y_minus = (1-flag)*yy{1}
 linreg(noprint) dyy v1+2 v2
 # y_plus y_minus
 if %rss < rss_test {
 compute rss_test = %rss
 compute thresh1 = thresh_test1(ii)
 }
 end do ii
*
 compute rss_test2 = 1000000.0
 set thresh_test0 = series1 - thresh1*t
 order thresh_test0
*
 compute thresh0 = thresh_test0(low)
 do ii = low,high
 set yyy = series1 - thresh_test0(ii)
 dif yyy v1+2 v2 dyyy
 set flag = %if(dyyy{1}<0,0,1)
 set yy_plus = flag*yyy{1}
 set yy_minus = (1-flag)*yyy{1}
 linreg(noprint) dyyy v1+2 v2
 # yy_plus yy_minus
 if %rss < rss_test2 {
 compute rss_test2 = %rss
 compute thresh0 = thresh_test0(ii)
 }
 end do ii
 if print {
 dis 'Intercept =' thresh0  'Slope =' thresh1
 }
 *
 set yy = series1 - thresh0 - thresh1*t

 dif yy v1+1 v2 dyy
 set flag = %if(dyy{1}<0,0,1)
 set y_plus = flag*yy{1}
 set y_minus = (1-flag)*yy{1}
 *
 if lags {
  linreg dyy v1+lags+1 v2 resids ; # y_plus y_minus dyy{1 to lags}
   }
  else {
  linreg dyy v1+1 v2 resids ; # y_plus y_minus
  }
  if print {
  display
  display 'M-TAR Unit Root Test, Series' %l(series1)
  display 'Regression Run From' %datelabel(v1+lags+1) 'to' %datelabel(v2)
  exclude
  # y_plus y_minus
  display '---------------------------------------------------------'
  display '                     With consistent threshold           '
  display '---------------------------------------------------------'

  compute f = %cdstat
  compute nobs = %nobs + 1
display 'critical values at' @20 '90%' @28 '95%' @36 '97.5%' @44 '99%'
    if nobs<100
     display @3 'for 50 obs.' @19 #.## consistent(1,2) @27 #.## consistent(1,3) @36 #.## consistent(1,4) $
          @43 #.## consistent(1,5)
    if nobs>100.and.nobs<250
     display @3 'for 100 obs.' @19 #.## consistent(2,2) @27 #.## consistent(2,3) @36 #.## consistent(2,4) $
          @43 #.## consistent(2,5)
    if nobs>250
     display @3 'for 250 obs.' @19 #.## consistent(3,2) @27 #.## consistent(3,3) @36 #.## consistent(3,4) $
          @43 #.## consistent(3,5)
     * now test rho1 = rho2
     display '-----------------------------------------------------------------------'
     disply 'Perform the test for symmetric adjustment(rho1=rho2)'
     restrict 1
     # 1 2
     # 1 -1 0
       }
     }
   }
end