refVARX: Refining a VARX Model
In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refVARX R Documentation
Refining a VARX Model
Description
Refine a fitted VARX model by setting insignificant parameters
to zero
Usage
refVARX(m1, thres = 1)
Arguments
m1
An output object of the VARX command or the refVARX command
thres
A threshold for the individual t-ratio. Default is 1.
Details
The program sets simultaneously all estimates with t-ratio less than
threshold (in modulus) to zero and re-estimate the VARX model.
Value
The same as those of the command VARX.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with
R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
VARX
MTS documentation built on April 11, 2022, 5:07 p.m.
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| refVARX | R Documentation |
Refining a VARX Model
Description
Refine a fitted VARX model by setting insignificant parameters to zero
Usage
refVARX(m1, thres = 1)
Arguments
m1 |
An output object of the VARX command or the refVARX command |
thres |
A threshold for the individual t-ratio. Default is 1. |
Details
The program sets simultaneously all estimates with t-ratio less than threshold (in modulus) to zero and re-estimate the VARX model.
Value
The same as those of the command VARX.
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
See Also
VARX
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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