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refREGts

Refining a Regression Model with Time Series Errors

Description

Refines a fitted REGts by setting simultaneously parameters with t-ratios less than the threshold (in modulus) to zero

Usage

refREGts(m1, thres = 1)

Arguments

m1

An output object from the REGts command or refREGts command

thres

Threshold value for individual t-ratio. Default is 1.

Value

The same as those of the command REGts.

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

refVAR, refVARMA

MTS

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

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