MTS: refECMvar – R documentation

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refECMvar

Refining Error-Correction Model for VAR series

Refining an estimated ECM VAR model by setting insignificant estimates to zero

refECMvar(m1, thres = 1)

`m1`	An object of the ECMvar command or the refECMvar command
`thres`	Threshold for individual t-ratio. The default is 1.

Set simultaneously all estimates with t-ratio less than the threshold to zero (in modulus).

Constrained estimation results of a ECM VAR model

Ruey S. Tsay

Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8