stableroot {bvhar} | R Documentation |
Compute the character polynomial of coefficient matrix.
stableroot(x, ...)
## 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, ...)
x |
Model fit |
... |
not used |
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.
Numeric vector.
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.