refVAR: Refining a VAR Model

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

Refining a VAR Model

Description

Refine a fitted VAR model by removing simultaneously insignificant parameters

Usage

refVAR(model, fixed = NULL, thres = 1)

Arguments

model	An output object of the command VAR or the refVAR command
fixed	A logical matrix for VAR polynomial structure
thres	Threshold used to set parameter to zero. Default is 1.

Details

Refine a VAR fitting by setting all estimates with t-ratio less than the threshold (in modulus) to zero.

Value

The same as those of the command VAR

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 2)

See Also

VAR

Examples

data("mts-examples",package="MTS")
gdp=log(qgdp[,3:5])
zt=diffM(gdp)
m1=VAR(zt,3)
m2=refVAR(m1,thres=1.0)
names(m2)

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