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refSCMfit

Refining Estimation of VARMA Model via SCM Approach

Description

Refine estimation of a VARMA model specified via the SCM approach by removing insignificant parameters

Usage

refSCMfit(model, thres = 1)

Arguments

model

Name of the model from the SCMfit command or the refSCMfit command

thres

Threshold for the t-ratio of individual coefficient. Default is 1.

Value

The same as those of the command SCMfit.

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4)

See Also

SCMfit

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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