refECMvar function

Refining Error-Correction Model for VAR series

Refining an estimated ECM VAR model by setting insignificant estimates to zero

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).

Returns

Constrained estimation results of a ECM VAR model

References

Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay