refVMAe: Refining VMA Estimation via the Exact Likelihood Method

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Refining VMA Estimation via the Exact Likelihood Method

Description

Refines a fitted VMA model via the VMAe command by setting insignificant parameters to zero

Usage

refVMAe(model, thres = 1)

Arguments

model	An output object of the command VMAe or the command refVMAe itself
thres	A threshold for individual t-ratio of parameter estimates. Default is 1.

Details

The program sets simultaneously all estimates with t-ratios less than the threshold (in modulus) to zero.

Value

The same as those of the command VMAe.

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

VMAe, refVMA

MTS documentation built on April 11, 2022, 5:07 p.m.