GetCharPolyRoots | R Documentation |

`GetCharPolyRoots`

calculates the roots of the
characteristic polynomial and plots them with the unit circle
transformed for the fractional model, see Johansen (2008).
`summary.FCVAR_roots`

prints the output of
`GetCharPolyRoots`

to screen.

GetCharPolyRoots(coeffs, opt, k, r, p)

`coeffs` |
A list of coefficients for the FCVAR model.
An element of the list of estimation |

`opt` |
An S3 object of class |

`k` |
The number of lags in the system. |

`r` |
The cointegrating rank. |

`p` |
The number of variables in the system. |

An S3 object of type `FCVAR_roots`

with the following elements:

`cPolyRoots`

A vector of the roots of the characteristic polynomial. It is an element of the list of estimation

`results`

output from`FCVARestn`

.`b`

A numeric value of the fractional cointegration parameter.

The roots are calculated from the companion form of the VAR, where the roots are given as the inverse eigenvalues of the coefficient matrix.

Johansen, S. (2008). "A representation theory for a class of vector autoregressive models for fractional processes," Econometric Theory 24, 651-676.

`FCVARoptions`

to set default estimation options.
`FCVARestn`

to estimate the model for which to calculate the roots
of the characteristic polynomial.
`summary.FCVAR_roots`

prints the output of
`GetCharPolyRoots`

to screen.

Other FCVAR postestimation functions:
`FCVARboot()`

,
`FCVARhypoTest()`

,
`MVWNtest()`

,
`plot.FCVAR_roots()`

,
`summary.FCVAR_roots()`

,
`summary.MVWN_stats()`

opt <- FCVARoptions() opt$gridSearch <- 0 # Disable grid search in optimization. opt$dbMin <- c(0.01, 0.01) # Set lower bound for d,b. opt$dbMax <- c(2.00, 2.00) # Set upper bound for d,b. opt$constrained <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no. x <- votingJNP2014[, c("lib", "ir_can", "un_can")] results <- FCVARestn(x, k = 2, r = 1, opt) FCVAR_CharPoly <- GetCharPolyRoots(results$coeffs, opt, k = 2, r = 1, p = 3)

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