refKronfit: Refining VARMA Estimation via Kronecker Index Approach

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

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

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