threshold

  1. J

    Asset returns and inflation in different inflationary regimes

    Hi, Currently I am writing my thesis and I am stuck on which statistical model would be good to use. I want look how well the returns of different asset classes comove with the inflation rate, at different levels of inflation. In a simplied form: Asset returns = a + Beta * inflation rate + e...
  2. J

    Estimating inflation hedging properties in different economic regimes

    Hi, Currently I am writing my thesis and I am stuck on which statistical model would be good to use. I want look how well the returns of different asset classes comove with the inflation rate, under different economic regimes. In a simplied form: Asset returns = a + Beta * inflation rate + e...
  3. J

    Using a dummy variable to model threshold effects

    Hi All, I'm new to this thread and very green/inexperienced in using regressions. I'm trying to model threshold effects in a time series analysis - for instance, does an output hike of 5% or greater lead to a different effect on returns than when the output change is less than 5%. Given that I...
  4. J

    Number of responses above a threshold after considering survey error

    I am interested in how many people in my survey of people earn between $50,000 and $54,999. I construct a paper survey which asks for income in $5,000 bands. 200 people respond that they earn between $45,000 and $49,999.99 20 people respond that they earn between $50,000 and $54,999.99...
  5. D

    Time series forecast. Probability of forecasted value exceeding a threshold value?

    OK. Let's say that I have several years of monthly sales data. How would I go about finding the probability that monthly sales, three months in the future, will exceed a threshold value? Is this something that's commonly done? I spent some time searching on the internet for this, but haven't...
  6. I

    Time Series Analysis Threshold Value

    I have time-series data for 0 min, 5 min, 10 min, etc. for 5000 genes. (Gene expression). I want to set a threshold value to eliminate reads that are just "noise," so that they do not contribute too much to the fold-increases/decreases that I am trying to analyze. What is a good way to...
  7. N

    Fixing a threshold to create contingency tables for Cochran–Mantel–Haenszel test

    I have two continuous variables, X, and Y, and create their contingency table by using the median of each variable as a threshold. I repeat this process for different X and Y values to create a set of contingency tables, each with different X and Y thresholds. Can I now compute...
  8. E

    Exogenous Regime Switching

    I currently have a model that measures inflation expectations as follows: y(t) = a*x(t) + (1-a)*y(t-1) I'm looking to create a regime switching models that change the values of "a" based upon a shock to an exogenous variable (let's say "z(t)"). Are there any methods which estimate the...