@cumdz |

Cumulative process of zero (at threshold) changes.

Compute the partial sum process of positive (at the threshold y) changes in the series x beginning in the specified date.

Syntax: @cumdz(x, d[, y, s])

x: series

d: string

y: (optional) number

s: (optional) sample string or object

Return: series

Consider the partial sum decomposition of a variable given a initial value as where , , and are the partial sum processes of the differences for positive, negative, and zero changes in relative to the threshold y:

This function returns the zero change for the current or specified sample.

• The date d string specification determines .

• Values for dates prior to d will be NAs.

• The optional argument specifies the threshold value. By default .

This function is panel aware.

Examples

show @cumdz(x, 2001, 1)

produces a linked series of @cumdz applied to x where the starting date is 2001 and the threshold value is set to 1.

Cross-references