refKronfit {MTS}

Refining VARMA Estimation via Kronecker Index Approach

Description

This program performs model simplification of a fitted VARMA model via the Kronecker index approach

Usage

refKronfit(model, thres = 1)

Arguments

model

The name of a model from the command Kronfit or refKronfit

thres

A threshold for t-ratio of individual parameter estimate. The default is 1.

Details

For a given threshold, the program sets a parameter to zero if its t-ratio (in modulus) is less than the threshold.

Value

Same as those of the command Kronfit.

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

Kronfit