refREGts: Refining a Regression Model with Time Series Errors
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refREGts R Documentation
Refining a Regression Model with Time Series Errors
Description
Refines a fitted REGts by setting simultaneously parameters
with t-ratios less than the threshold (in modulus) to zero
Usage
refREGts(m1, thres = 1)
Arguments
m1
An output object from the REGts command or refREGts command
thres
Threshold value for individual t-ratio. Default is 1.
Value
The same as those of the command REGts.
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
refVAR, refVARMA
MTS documentation built on April 11, 2022, 5:07 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| refREGts | R Documentation |
Refining a Regression Model with Time Series Errors
Description
Refines a fitted REGts by setting simultaneously parameters with t-ratios less than the threshold (in modulus) to zero
Usage
refREGts(m1, thres = 1)
Arguments
m1 |
An output object from the REGts command or refREGts command |
thres |
Threshold value for individual t-ratio. Default is 1. |
Value
The same as those of the command REGts.
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
refVAR, refVARMA
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.