refVAR: Refining a VAR Model

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

Refine a fitted VAR model by removing simultaneously insignificant parameters

Usage

1
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)

Example output

Constant term: 
Estimates:  0.001611113 0.000919218 0.002644757 
Std.Error:  0.0007328135 0.0007872168 0.0008584164 
AR coefficient matrix 
AR( 1 )-matrix 
      [,1]  [,2]   [,3]
[1,] 0.430 0.116 0.0518
[2,] 0.326 0.322 0.4882
[3,] 0.487 0.175 0.2407
standard error 
       [,1]   [,2]   [,3]
[1,] 0.0906 0.0965 0.0889
[2,] 0.0973 0.1037 0.0955
[3,] 0.1061 0.1130 0.1042
AR( 2 )-matrix 
          [,1]    [,2]    [,3]
[1,]  0.000512  0.1342 -0.0409
[2,] -0.184259 -0.1919  0.0239
[3,] -0.233267 -0.0949  0.1713
standard error 
      [,1]  [,2]   [,3]
[1,] 0.102 0.099 0.0955
[2,] 0.110 0.106 0.1026
[3,] 0.119 0.116 0.1119
AR( 3 )-matrix 
       [,1]    [,2]    [,3]
[1,] 0.1011 -0.2691  0.1680
[2,] 0.0467  0.0835 -0.0856
[3,] 0.0205 -0.0972 -0.0306
standard error 
       [,1]   [,2]   [,3]
[1,] 0.0932 0.0853 0.0893
[2,] 0.1001 0.0916 0.0959
[3,] 0.1092 0.0999 0.1046
  
Residuals cov-mtx: 
             [,1]         [,2]         [,3]
[1,] 2.469619e-05 4.101370e-06 8.052621e-06
[2,] 4.101370e-06 2.849915e-05 1.320285e-05
[3,] 8.052621e-06 1.320285e-05 3.388747e-05
  
det(SSE) =  1.799982e-14 
AIC =  -31.21641 
BIC =  -30.6055 
HQ  =  -30.96823 
Constant term: 
Estimates:  0.00167979 0.001023964 0.002644002 
Std.Error:  0.0006939314 0.0007374557 0.0008350321 
AR coefficient matrix 
AR( 1 )-matrix 
      [,1]  [,2]  [,3]
[1,] 0.444 0.127 0.000
[2,] 0.340 0.327 0.471
[3,] 0.479 0.150 0.231
standard error 
       [,1]   [,2]   [,3]
[1,] 0.0827 0.0745 0.0000
[2,] 0.0943 0.0938 0.0917
[3,] 0.1041 0.1083 0.1004
AR( 2 )-matrix 
       [,1]   [,2]  [,3]
[1,]  0.000  0.124 0.000
[2,] -0.153 -0.175 0.000
[3,] -0.217  0.000 0.139
standard error 
       [,1]   [,2]  [,3]
[1,] 0.0000 0.0927 0.000
[2,] 0.0946 0.0804 0.000
[3,] 0.1067 0.0000 0.102
AR( 3 )-matrix 
       [,1]   [,2]  [,3]
[1,] 0.0855 -0.274 0.174
[2,] 0.0000  0.000 0.000
[3,] 0.0000 -0.145 0.000
standard error 
       [,1]   [,2]   [,3]
[1,] 0.0808 0.0825 0.0879
[2,] 0.0000 0.0000 0.0000
[3,] 0.0000 0.0825 0.0000
  
Residuals cov-mtx: 
             [,1]         [,2]         [,3]
[1,] 2.481393e-05 4.095313e-06 8.031321e-06
[2,] 4.095313e-06 2.885024e-05 1.338902e-05
[3,] 8.031321e-06 1.338902e-05 3.419020e-05
  
det(SSE) =  1.847448e-14 
AIC =  -31.35039 
BIC =  -30.96574 
HQ  =  -31.19412 
 [1] "data"      "order"     "cnst"      "coef"      "aic"       "bic"      
 [7] "hq"        "residuals" "secoef"    "Sigma"     "Phi"       "Ph0"      

MTS documentation built on May 29, 2017, 5:15 p.m.