refECMvar1: Refining ECM for a VAR process

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Refining ECM for a VAR process

Description

Performs constrained least squares estimation of a ECM VAR model with known co-integrated processes

Usage

refECMvar1(m1, thres = 1)

Arguments

m1	An object of the ECMvar1 command or the refECMvar1 command
thres	Threshold for individual t-ratio. Default is 1.

Details

Setting all estimates with t-ration less than the threshold, in absoluate value, to zero simultaneously.

Value

Constrained estimation results of an ECM VAR model

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

ECMvar1, refECMvar

MTS documentation built on April 11, 2022, 5:07 p.m.