Refining VARMA Estimation
Refines a fitted VARMA model by setting insignificant estimates to zero
refVARMA(model, thres = 1.5)
An output object from the command VARMA or the command refVARMA
A threshold value for individual t-ratio of the estimates.
The program simultaneously sets estimates with t-ratios less than the threshold (in modulus) to zero.
The same as those of the command VARMA.
Ruey S. Tsay
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.