refREGts function

Refining a Regression Model with Time Series Errors

Refines a fitted REGts by setting simultaneously parameters with t-ratios less than the threshold (in modulus) to zero

refREGts(m1, thres = 1)

Arguments

• m1: An output object from the REGts command or refREGts command
• thres: Threshold value for individual t-ratio. Default is 1.

Returns

The same as those of the command REGts.

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

See Also

refVAR, refVARMA