refVMAe: Refining VMA Estimation via the Exact Likelihood Method

refVMAeR Documentation

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.