Performs constrained least squares estimation of a ECM VAR model with known co-integrated processes
refECMvar1(m1, thres = 1)
An object of the ECMvar1 command or the refECMvar1 command
Threshold for individual t-ratio. Default is 1.
Setting all estimates with t-ration less than the threshold, in absoluate value, to zero simultaneously.
Constrained estimation results of an ECM VAR model
Ruey S. Tsay
Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.