refVMA function

Refining VMA Models

Refines a fitted VMA model by setting insignificant parameters to zero

refVMA(model, thres = 1)

Arguments

• model: An output object from the command VMA or the refVMA command
• thres: A threshold for individual t-ratio of parameter estimate. Default is 1.

Details

The program simultaneously sets all estimates with t-ratios less than the threshold (in modulus) to zero.

Returns

The same as those of the command VMA.

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

See Also

VMA