MATLAB: Glmfit not working: US’s chances of recession

econometricseconomicsglmfitprobability

close all
A=[ind us2y10 rec];
X=[ind us2y10];
[logitCoef] = glmfit(X,rec,'binomial','link','logit');
yfit=[ones(359,1) X]*logitCoef;
plot(yfit);
Hello everyone!
I'm trying to estimate a logit model for the probability of recession in the US, based on a constante factor, the inddustrial production and US yield curve slope for 2y and 10y. The results are not the one supposed to be, since the model is presenting out of bounds ([0,1]) estimates.
Thanks in advance for your time in checking the script.
Cheers,
Pedro

Best Answer

Use glmval to evaluate the result of the fit: 
T1 = readtable('USREC.xls');
ind = T1.ind;
us2y10 = T1.us2y10;
rec = T1.rec;
X=[ind us2y10];
logitCoef = glmfit(X,rec,'binomial','link','logit');
yfit = glmval(logitCoef,X,'logit');
figure
plot(X(:,1), yfit);
grid
xlabel('ind')
ylabel('‘rec’ Fit')
sortX = sortrows(X,1)                                       % Sort ‘X’ First
yfit = glmval(logitCoef,sortX,'logit');
figure
plot(sortX(:,1), yfit);                                     % Cleaner-Looking Plot
grid
xlabel('ind')
ylabel('‘rec’ Fit')
producing this plot:
I am not certain what you are doing, or how to interpret this, however this plot appears to meet the [0,1] criterion.
.
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