How to estimate the threshold VAR model?

I'm using toolbox of threshold VAR model devloped by Gabriel Bruneau

I tried the following syntax for the selction of threshold VAR model as described in the code

ic = tvarxic(y,8,2,([0 1]),'SBIC')

The first argument is my input which is a matrix of two variables with 268 observations, next to it there is the maximum lags followed by by the number of theresholds. Then there is a vector to spicify the transition variable, 1 indicates for the variable to be taken as transition variable. The last argument is for the information criteria

However, every time I run the code, I got the following error

Error using tvarxic
Expected input number 4, transVar, to be an array with number of rows equal to 268.

Error in tvarxic>checkInput (line 279)
    validateattributes(transVar,{'numeric'},{'real','nrows',size(y,1),'ncols',1},'tvarxic','transVar',4);

Error in tvarxic (line 82)
[y,nARmax,nThreshmax,transVar] = checkInput(y,nARmax,nThreshmax,transVar);

I tried many things but I'm getting the same error, could anyone please check and tell me what I'm doing wrong here

Any help is deeply appreciated

Answer 1

[pan chao pan]

hello,you can send me the model,I can help [e-mail]

[Ameer Fahmi]

Thanks, I'll send the data as soon as possible, before estimating the model I'd like to select the best features to estimate the model such as time delay and the optimal lag lenght which can be obtained using the syntax

[icVar,infocrit,tresh] = tvarxic(y,nARmax,nThreshmax,transVar,options_ic,options_tvarx)

Then estimate the model and plot the impulse response function at each regime, I'll be so grateful if you helped me to solve these issues.

[Gustavo Sánchez Rivera]

Hi, could you fix it? I have the same problem

[Hamid Muili]

Dear Ameer Fahmi, pls try to post the solution to the problem so that some of us having similar issue will learn from it too Best regards

[Ameer Fahmi]

Unfortunately, I haven't been able to figure out what the problem is, so I moved on and I used another application of TVAR models

[Hamid Muili]

What other TVAR toolbox did you use. Please.

[Hamid Muili]

Finally I was able to fix it. Just create a matrix of logical expression in MATLAB. For example, if y contains my data set 100*4 for 4 variables with 100 observation. And I want to use the first column variable as the treshold variable. Just create a matrix of logical expression. Treshvar= [true, false,false, false]. This tells MATLAB that it should only use the first variable as the treshold variable.