refVMAe function

Refining VMA Estimation via the Exact Likelihood Method

Refines a fitted VMA model via the VMAe command by setting insignificant parameters to zero

refVMAe(model, thres = 1)

Arguments

• model: An output object of the command VMAe or the command refVMAe itself
• thres: A threshold for individual t-ratio of parameter estimates. Default is 1.

Details

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

Returns

The same as those of the command VMAe.

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

VMAe, refVMA