Refine estimation of a VARMA model specified via the SCM approach by removing insignificant parameters
refSCMfit(model, thres = 1)
Name of the model from the SCMfit command or the refSCMfit command
Threshold for the t-ratio of individual coefficient. Default is 1.
The same as those of the command SCMfit.
Ruey S. Tsay
Tsay (2014, Chapter 4)