refKronfit function

Refining VARMA Estimation via Kronecker Index Approach

This program performs model simplification of a fitted VARMA model via the Kronecker index approach

refKronfit(model, thres = 1)

Arguments

• model: The name of a model from the command Kronfit or refKronfit
• thres: A threshold for t-ratio of individual parameter estimate. The default is 1.

Details

For a given threshold, the program sets a parameter to zero if its t-ratio (in modulus) is less than the threshold.

Returns

Same as those of the command Kronfit.

References

Tsay (2014, Chapter 4). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

See Also

Kronfit