MTS: refVAR – R documentation

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refVAR

Refining a VAR Model

Refine a fitted VAR model by removing simultaneously insignificant parameters

refVAR(model, fixed = NULL, thres = 1)

`model`	An output object of the command VAR or the refVAR command
`fixed`	A logical matrix for VAR polynomial structure
`thres`	Threshold used to set parameter to zero. Default is 1.

Refine a VAR fitting by setting all estimates with t-ratio less than the threshold (in modulus) to zero.

The same as those of the command VAR

Ruey S. Tsay

Tsay (2014, Chapter 2)

data("mts-examples",package="MTS")
gdp=log(qgdp[,3:5])
zt=diffM(gdp)
m1=VAR(zt,3)
m2=refVAR(m1,thres=1.0)
names(m2)

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