stableroot.varlse {bvhar}

Characteristic polynomial roots for VAR Coefficient Matrix

Description

Compute the character polynomial of VAR(p) coefficient matrix.

Usage

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

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

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

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

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

Arguments

x

Model fit

...

not used

Details

To know whether the process is stable or not, make characteristic polynomial.

\det(I_m - A z) = 0

where A is VAR(1) coefficient matrix representation.

Value

Numeric vector.

References

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