R Under development (unstable) (2024-10-28 r87274 ucrt) -- "Unsuffered Consequences"
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> library(tsDyn)
> suppressWarnings(RNGversion("3.5.3"))
> 
> data(zeroyld)
> data<-zeroyld
> 
> ## Test against paper:
> all.equal(round(TVECM.HStest(data, lag=1, intercept=TRUE, nboot=0)$stat,4),20.5994)
[1] TRUE
> all.equal(round(TVECM.HStest(data, lag=2, intercept=TRUE, nboot=0)$stat,4),28.2562 )
[1] TRUE
> all.equal(round(TVECM.HStest(data, lag=3, intercept=TRUE, nboot=0)$stat,4), 29.9405 )
[1] "Mean relative difference: 0.01292669"
> 
> 
> ## prob:
> all.equal(round(TVECM.HStest(data, lag=2, intercept=TRUE, nboot=0, fixed.beta=1)$stat,4),29.5295)
[1] "Mean relative difference: 0.005730698"
> all.equal(round(TVECM.HStest(data, lag=1, intercept=TRUE, nboot=0, fixed.beta=1)$stat,4),21.5586 )
[1] "Mean relative difference: 0.02895189"
>   
> ## Test: no boot
> TVECM.HStest(data, lag=1, intercept=TRUE, ngridTh=50, nboot=0)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 18.2336	(Maximized for threshold value: -0.1002829 )
> TVECM.HStest(data, lag=1, intercept=FALSE, ngridTh=50, nboot=0)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 16.06721	(Maximized for threshold value: -0.4225114 )
> TVECM.HStest(data, lag=1, intercept=TRUE, nboot=0)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 20.59942	(Maximized for threshold value: -0.04805437 )
> TVECM.HStest(data, lag=1, intercept=FALSE, nboot=0)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 16.06721	(Maximized for threshold value: -0.4225114 )
> 
> 
> ## Test: boot
> set.seed(123)
> t1<-TVECM.HStest(data, lag=1, intercept=TRUE, ngridTh=50, nboot=5)
> set.seed(123)
> t2<-TVECM.HStest(data, lag=1, intercept=FALSE, ngridTh=50, nboot=5)
> set.seed(123)
> t3<-TVECM.HStest(data, lag=1, intercept=TRUE, ngridTh=50, nboot=5, boot.type="ResBoot")
> set.seed(123)
> t4<-TVECM.HStest(data, lag=1, intercept=FALSE, ngridTh=50, nboot=5, boot.type="ResBoot")
> 
> ## Test: methodst1
> summary(t1)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 18.2336	(Maximized for threshold value: -0.1002829 )
P-Value:	 0 		( Fixed regressor bootstrap )

Critical values:
   0.90%   0.95%    0.99%
 15.5439 15.6446 15.72516
Number of bootstrap replications:	 5 

Cointegrating value (estimated under restricted linear model): -1.022065 
> plot(t1)
> plot(t1, which="Density")
> plot(t1, which="LM values")
> t2
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 16.06721	(Maximized for threshold value: -0.4225114 )
P-Value:	 0 		( Fixed regressor bootstrap )
> summary(t2)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 16.06721	(Maximized for threshold value: -0.4225114 )
P-Value:	 0 		( Fixed regressor bootstrap )

Critical values:
    0.90%    0.95%    0.99%
 14.69722 14.97985 15.20596
Number of bootstrap replications:	 5 

Cointegrating value (estimated under restricted linear model): -1.022065 
> t3
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 18.2336	(Maximized for threshold value: -0.1002829 )
P-Value:	 0 		( Residual Bootstrap )
> summary(t3)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 18.2336	(Maximized for threshold value: -0.1002829 )
P-Value:	 0 		( Residual Bootstrap )

Critical values:
   0.90%    0.95%    0.99%
 16.3054 17.18791 17.89392
Number of bootstrap replications:	 5 

Cointegrating value (estimated under restricted linear model): -1.022065 
> t4
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 16.06721	(Maximized for threshold value: -0.4225114 )
P-Value:	 0.2 		( Residual Bootstrap )
> summary(t4)
## Test of linear versus threshold cointegration of Hansen and Seo (2002) ##

Test Statistic:	 16.06721	(Maximized for threshold value: -0.4225114 )
P-Value:	 0.2 		( Residual Bootstrap )

Critical values:
   0.90%    0.95%    0.99%
 16.3054 17.18791 17.89392
Number of bootstrap replications:	 5 

Cointegrating value (estimated under restricted linear model): -1.022065 
> 
> proc.time()
   user  system elapsed 
   3.75    0.82    4.61