Refining Estimation of VARMA Model via SCM Approch

Share:

Description

Refine estimation of a VARMA model specified via the SCM approach by removing insignificant parameters

Usage

1
refSCMfit(model, thres = 1)

Arguments

model

Name of the model from the SCMfit command or the refSCMfit command

thres

Threshold for the t-ratio of individual coefficient. Default is 1.

Value

The same as those of the command SCMfit.

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 4)

See Also

SCMfit

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.