charac_root {tsDyn}

Characteristic roots of the AR coefficients

Description

Computes the (inverse) characteristic roots of the auto-regressive coefficients. To be stationary, the values should be outside the unit circle. The function here returns the modulus of the roots.

Usage

charac_root(object, ...)

## S3 method for class 'nlar'
charac_root(object, ...)

Arguments

object

object of class nlar

...

currently unused

Details

Computes the roots of the polynomial (1, -phi) using function polyroot

Value

a data.frame, with the modulus of the roots. For models with multiple regimes (setar, lstar, star), one column per regime.

Examples

mod.ar <-  linear(lh, m = 5, include = "const")
mod.setar <-  setar(lh, m = 5, include = "const")

charac_root(mod.ar)
charac_root(mod.setar)