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)
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. |
The program sets simultaneously all estimates with t-ratios less than the threshold (in modulus) to zero.
The same as those of the command VMAe.
Ruey S. Tsay
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
VMAe, refVMA
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