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ttstates

Threshold variable data state path

Description

example

states = ttstates(tt,z) returns the state path for values of the threshold variable z relative to the levels in the Levels property of tt.

Examples

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Load the yearly Canadian inflation and interest rates data set. Extract the inflation rate based on consumer price index (INF_C) from the table.

load Data_Canada
INF_C = DataTable.INF_C;

Assume the following characteristics of the inflation rate series:

  • Rates below 2% are low.

  • Rates at least 2% and below 8% are medium.

  • Rates at least 8% are high.

  • States transition abruptly.

Create threshold transitions to describe the Canadian inflation rates.

statenames = ["Low" "Med" "High"];
tt = threshold([2 8],StateNames=statenames);

Infer the state path by passing the inflation rate series through the threshold transitions.

n = numel(INF_C);
states = ttstates(tt,INF_C);
snpath = tt.StateNames(states);

states is an n-by-1 vector of inferred state indices. snpath is the state path using state names instead of indices.

Separately plot the inflation rate series and inferred state path.

figure  
tiledlayout(2,1)
nexttile
h = ttplot(tt,Data=INF_C);
legend(h([1 3]),["State threshold" "Inflation rate"])
nexttile
plot(states,'go',LineWidth=2)
ylabel('State')
yticks(1:3)
yticklabels(tt.StateNames)
axis tight

Figure contains 2 axes objects. Axes object 1 with title Threshold Transitions contains 3 objects of type line. These objects represent State threshold, Inflation rate. Axes object 2 contains an object of type line.

Input Arguments

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Threshold transitions, with NumStates states, specified as a threshold object. tt must be fully specified (no NaN entries).

Threshold variable data, specified as a numeric vector.

Data Types: double

Output Arguments

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Threshold data states, returned as a numeric vector with the same length as z.

If the transition mid-levels tt.Levels are t1, t2,… tn, ttstates labels states (−∞,t1), [t1,t2),… [tn,∞) as 1, 2, …, n+1, respectively.

States are independent of threshold rates.

Algorithms

In threshold-switching dynamic regression models (tsVAR), state transitions occur when a threshold variable crosses a transition mid-level. Discrete transitions result in an abrupt change in the submodel computing the response. Smooth transitions create weighted combinations of submodel responses that change continuously with the value of the threshold variable, and state changes indicate a shift in the dominant submodel. For more details, see tsVAR.

Version History

Introduced in R2021b