Refining VARMA Estimation via Kronecker Index Approach
This program performs model simplification of a fitted VARMA model via the Kronecker index approach
refKronfit(model, thres = 1)
model |
The name of a model from the command Kronfit or refKronfit |
thres |
A threshold for t-ratio of individual parameter estimate. The default is 1. |
For a given threshold, the program sets a parameter to zero if its t-ratio (in modulus) is less than the threshold.
Same as those of the command Kronfit.
Ruey S. Tsay
Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Kronfit
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.