Refine a fitted VARX model by setting insignificant parameters to zero
refVARX(m1, thres = 1)
An output object of the VARX commond or the refVARX command
A threshold for the individual t-ratio. Default is 1.
The program sets simultaneously all estimates with t-ratio less than threshold (in modulus) to zero and re-estimate the VARX model.
The same as those of the command VARX.
Ruey S. Tsay
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.