Check the stability condition of coefficient matrix.
Usage
is.stable(x, ...)
# 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
Value
logical class
logical class
Details
VAR(p) is stable if
$$\det(I_m - A z) \neq 0$$
for \(\lvert z \rvert \le 1\).
References
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.
