RainbowStats™ · Regression commands

THRESHOLD_REGRESSION

Search for a two-regime regression threshold.

Syntax

THRESHOLD_REGRESSION(list,splitColumn)
THRESHOLD_REGRESSION(list,splitColumn,minSideObservations)

Returned object

ThresholdRegressionOperator

Example

t=THRESHOLD_REGRESSION(LIST(UNRATE,JTSJOR),1,24)
EXTRACT(t,"slideshow")

Interpretation and limitations

The existing BinaryThresholdRegression search and minimum-side convention are retained. Extracts include the SSR profile, pooled and regime fits, threshold, slopes, t statistics, observation counts and SSR comparisons. A data-selected threshold needs cautious inference.

Available extracts

Save the command result in a variable, then use EXTRACT(result, "key"). Availability can depend on the input form and fitted model.

slideshow
model
summary
threshold_model
ssr_profile
threshold_profile
below_model
below
above_model
above
pooled_residuals
pooled_model
pooled
threshold
below_slope
above_slope
below_tstat
above_tstat
pooled_ssr
split_ssr
ssr_improvement
ssr_improvement_pct
f_stat
f_statistic
below_observations
above_observations

In indexed patterns such as beta:n, replace n with the required index.

Learn more

Detailed guide and examples