GetCharPolyRoots {FCVAR} | R Documentation |
Roots of the Characteristic Polynomial
Description
GetCharPolyRoots
calculates the roots of the
characteristic polynomial and plots them with the unit circle
transformed for the fractional model, see Johansen (2008).
summary.FCVAR_roots
prints the output of
GetCharPolyRoots
to screen.
Usage
GetCharPolyRoots(coeffs, opt, k, r, p)
Arguments
coeffs |
A list of coefficients for the FCVAR model.
An element of the list of estimation |
opt |
An S3 object of class |
k |
The number of lags in the system. |
r |
The cointegrating rank. |
p |
The number of variables in the system. |
Value
An S3 object of type FCVAR_roots
with the following elements:
cPolyRoots
A vector of the roots of the characteristic polynomial. It is an element of the list of estimation
results
output fromFCVARestn
.b
A numeric value of the fractional cointegration parameter.
Note
The roots are calculated from the companion form of the VAR, where the roots are given as the inverse eigenvalues of the coefficient matrix.
References
Johansen, S. (2008). "A representation theory for a class of vector autoregressive models for fractional processes," Econometric Theory 24, 651-676.
See Also
FCVARoptions
to set default estimation options.
FCVARestn
to estimate the model for which to calculate the roots
of the characteristic polynomial.
summary.FCVAR_roots
prints the output of
GetCharPolyRoots
to screen.
Other FCVAR postestimation functions:
FCVARboot()
,
FCVARhypoTest()
,
MVWNtest()
,
plot.FCVAR_roots()
,
summary.FCVAR_roots()
,
summary.MVWN_stats()
Examples
opt <- FCVARoptions()
opt$gridSearch <- 0 # Disable grid search in optimization.
opt$dbMin <- c(0.01, 0.01) # Set lower bound for d,b.
opt$dbMax <- c(2.00, 2.00) # Set upper bound for d,b.
opt$constrained <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
x <- votingJNP2014[, c("lib", "ir_can", "un_can")]
results <- FCVARestn(x, k = 2, r = 1, opt)
FCVAR_CharPoly <- GetCharPolyRoots(results$coeffs, opt, k = 2, r = 1, p = 3)