is.stable {bigtime}R Documentation

Checks whether a VAR is stable

Description

Using a model estimated by sparseVAR, this function checks whether the resulting VAR is stable. This is the case, whenever the maximum absolute eigenvalue of the companion matrix corresponding to the VAR is less than one. This is sometimes also referred to as that the root lies outside the unit circle.

Usage

is.stable(mod, verbose = FALSE)

Arguments

mod

Model estimated using sparseVAR. Can only be a model with one coefficient vector. Hence, the model must be estimated using a selection method. See sparseVAR for more details.

verbose

If TRUE, then the actual maximum absolute eigenvalue of the companion matrix will be printed to the console. Default is FALSE

Value

Returns TRUE if the VAR is stable and FALSE otherwise


[Package bigtime version 0.2.1 Index]