refVARX function

Refining a VARX Model

Refine a fitted VARX model by setting insignificant parameters to zero

refVARX(m1, thres = 1)

Arguments

• m1: An output object of the VARX command or the refVARX command
• thres: A threshold for the individual t-ratio. Default is 1.

Details

The program sets simultaneously all estimates with t-ratio less than threshold (in modulus) to zero and re-estimate the VARX model.

Returns

The same as those of the command VARX.

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

VARX