is.stable.varlse {bvhar}

Stability of VAR Coefficient Matrix

Description

Check the stability condition of VAR(p) coefficient matrix.

Usage

## S3 method for class 'varlse'
is.stable(x, ...)

## S3 method for class 'vharlse'
is.stable(x, ...)

## S3 method for class 'bvarmn'
is.stable(x, ...)

## S3 method for class 'bvarflat'
is.stable(x, ...)

## S3 method for class 'bvharmn'
is.stable(x, ...)

Arguments

x

Model fit

...

not used

Details

VAR(p) is stable if

\det(I_m - A z) \neq 0

for \lvert z \rvert \le 1.

Value

logical class

References

Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.