refSCMfit function

Refining Estimation of VARMA Model via SCM Approach

Refine estimation of a VARMA model specified via the SCM approach by removing insignificant parameters

refSCMfit(model, thres = 1)

Arguments

• model: Name of the model from the SCMfit command or the refSCMfit command
• thres: Threshold for the t-ratio of individual coefficient. Default is 1.

Returns

The same as those of the command SCMfit.

References

Tsay (2014, Chapter 4)

Author(s)

Ruey S. Tsay

See Also

SCMfit