refVAR function

Refining a VAR Model

Refine a fitted VAR model by removing simultaneously insignificant parameters

refVAR(model, fixed = NULL, thres = 1)

Arguments

• model: An output object of the command VAR or the refVAR command
• fixed: A logical matrix for VAR polynomial structure
• thres: Threshold used to set parameter to zero. Default is 1.

Details

Refine a VAR fitting by setting all estimates with t-ratio less than the threshold (in modulus) to zero.

Returns

The same as those of the command VAR

References

Tsay (2014, Chapter 2)

Author(s)

Ruey S. Tsay

See Also

VAR

Examples

data("mts-examples",package="MTS")
gdp=log(qgdp[,3:5])
zt=diffM(gdp)
m1=VAR(zt,3)
m2=refVAR(m1,thres=1.0)
names(m2)