roots_sh {VARshrink}

Eigenvalues of the companion coefficient matrix of a VAR(p)-process

Description

This is a variant of vars::roots() for an object of class 'varshrinkest', VAR parameters estimated by VARshrink().

Usage

roots_sh(x, modulus = TRUE)

Arguments

x

An object of class "varshrinkest"

modulus

TRUE for modulus of the roots.

See Also

roots

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
roots_sh(estim)