tsDyn (version 11.0.4.1)

charac_root: 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 nlar
charac_root(object, ...)

Value

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

Arguments

object

object of class nlar

...

currently unused

Details

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

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)