Panel Threshold Cointegration

[ege_man]

Dear Tom,
I am looking for the code of the following paper. They extended Caner and Hansen (2001) threshold unit root test to the Panel version. We e-mailed to Authors but they do not respond. Is it possible to do with RATS? I know both panel threshold and panel smooth transition codes are available but would like to test for cointegration.
Best

Zhu, H. M., Li, S. F., & Yu, K. (2011). Crude oil shocks and stock markets: A panel threshold cointegration approach. Energy Economics, 33(5), 987-994.