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refVARMA

Refining VARMA Estimation

Description

Refines a fitted VARMA model by setting insignificant estimates to zero

Usage

refVARMA(model, thres = 1.5)

Arguments

model

An output object from the command VARMA or the command refVARMA

thres

A threshold value for individual t-ratio of the estimates.

Details

The program simultaneously sets estimates with t-ratios less than the threshold (in modulus) to zero.

Value

The same as those of the command VARMA.

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

VARMA

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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