Roots of characteristic polynomial

Compute the character polynomial of coefficient matrix.

Usage

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, ...)

Arguments

x

Model fit

...

not used

Value

Numeric vector.

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.

References

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