refECMvar1 function

Refining ECM for a VAR process

Performs constrained least squares estimation of a ECM VAR model with known co-integrated processes

refECMvar1(m1, thres = 1)

Arguments

• m1: An object of the ECMvar1 command or the refECMvar1 command
• thres: Threshold for individual t-ratio. Default is 1.

Details

Setting all estimates with t-ration less than the threshold, in absoluate value, to zero simultaneously.

Returns

Constrained estimation results of an 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

See Also

ECMvar1, refECMvar