refECMvar: Refining Error-Correction Model for VAR series
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
refECMvar R Documentation
Refining Error-Correction Model for VAR series
Description
Refining an estimated ECM VAR model by setting insignificant
estimates to zero
Usage
refECMvar(m1, thres = 1)
Arguments
m1
An object of the ECMvar command or the refECMvar command
thres
Threshold for individual t-ratio. The default is 1.
Details
Set simultaneously all estimates with t-ratio less than
the threshold to zero (in modulus).
Value
Constrained estimation results of a ECM VAR model
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 5). Multivariate Time Series Analysis with
R and Financial Applications. John Wiley. Hoboken, NJ.
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| refECMvar | R Documentation |
Refining Error-Correction Model for VAR series
Description
Refining an estimated ECM VAR model by setting insignificant estimates to zero
Usage
refECMvar(m1, thres = 1)
Arguments
m1 |
An object of the ECMvar command or the refECMvar command |
thres |
Threshold for individual t-ratio. The default is 1. |
Details
Set simultaneously all estimates with t-ratio less than the threshold to zero (in modulus).
Value
Constrained estimation results of a ECM VAR model
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
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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