threshold cointegration

[Anat Tchetchik]

Hi all,
I'm using Stata 15.1. I have a balanced panel of 34 countries T=24 years.
I found co-integrating relationships between unemployment rate and the size of the shadow economy (based on panel cointegration test)
I have a reason to believe that there is a threshold in the links between these two variables (for up to "normal" unemployment rates, I don't expect shadow economy to rise).
Can I run threshold cointegration test in Stata for panel data?
Thanks for any advice,
Anat

[Anat Tchetchik]

Hi again,
Following my previous post, I've used the command -xthreg- and found a threshold in my panel data (the relationships between the size of the shadow economy and the Unemployment rate shift when unemployment reaches ~7%) how do I account for this when testing cointegration? and later when running panel error-correction models (xtpmg)?
I'll appreciate any help on this,
Anat