refsVARMA function

Refining a Seasonal VARMA Model

Refines a fitted seasonal VARMA model by setting insignificant estimates to zero

refsVARMA(model, thres = 0.8)

Arguments

• model: An output object of the sVARMA command or the refsVARMA command
• thres: Threshold for individual t-ratio. Default is 0.8.

Details

The command removes simultaneously all parameters with t-ratio less than the threshold in modulus.

Returns

The same as those of the command sVARMA

References

Tsay (2014, Chapter 6)

Author(s)

Ruey S. Tsay

See Also

sVARMA