Refining a VAR Model

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Description

Refine a fitted VAR model by removing simultaneously insignificant parameters

Usage

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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

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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)

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