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refsVARMA

Refining a Seasonal VARMA Model

Description

Refines a fitted seasonal VARMA model by setting insignificant estimates to zero

Usage

refsVARMA(model, thres = 0.8)

Arguments

model

An output object of the sVARMA command or the refsVARMA command

thres

Threshold for individual t-ratio. Default is 0.8.

Details

The command removes simultaneously all parameters with t-ratio less than the threshold in modulus.

Value

The same as those of the command sVARMA

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6)

See Also

sVARMA

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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