STVARResult.is_effectively_abrupt#

property STVARResult.is_effectively_abrupt: bool[source]#

Whether the fitted transition is so fast it is a hard threshold.

A large gamma drives the logistic weight to an indicator, at which point the smooth model is a TVAR with two extra parameters and a flat likelihood in gamma. Reported so the flatness is visible rather than mistaken for a converged estimate. Always False for the exponential form, whose large-gamma limit is not a hard split of the sample.

Example

A hard-threshold truth drives gamma far past the cutoff:

>>> import numpy as np
>>> rng = np.random.default_rng(2)
>>> y = np.zeros((300, 2))
>>> for t in range(1, 300):
...     a = 0.7 if y[t - 1, 0] <= 0.0 else -0.3
...     y[t] = a * y[t - 1] + rng.standard_normal(2)
>>> res = STVAR(y, order=1, transition_variable="y1").fit()
>>> res.is_effectively_abrupt, bool(res.gamma > 100.0)
(True, True)
>>> "effectively a hard threshold" in str(res.summary())
True