refVARX {MTS} | R Documentation |
Refining a VARX Model
Description
Refine a fitted VARX model by setting insignificant parameters to zero
Usage
refVARX(m1, thres = 1)
Arguments
m1 |
An output object of the VARX command or the refVARX command |
thres |
A threshold for the individual t-ratio. Default is 1. |
Details
The program sets simultaneously all estimates with t-ratio less than threshold (in modulus) to zero and re-estimate the VARX model.
Value
The same as those of the command VARX.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
VARX
[Package MTS version 1.2.1 Index]