summary.FCVAR_roots: Print Summary of Roots of the Characteristic Polynomial

In FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

Print Summary of Roots of the Characteristic Polynomial

Description

summary.FCVAR_roots prints the output of GetCharPolyRoots to screen. GetCharPolyRoots calculates the roots of the characteristic polynomial to plot them with the unit circle transformed for the fractional model, see Johansen (2008).

Usage

## S3 method for class 'FCVAR_roots'
summary(object, ...)

Arguments

object	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.
...	additional arguments affecting the summary produced.

Note

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

References

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

See Also

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(), GetCharPolyRoots(), MVWNtest(), plot.FCVAR_roots(), summary.MVWN_stats()

Examples

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)
summary(object = FCVAR_CharPoly)
graphics::plot(x = FCVAR_CharPoly)

FCVAR documentation built on May 5, 2022, 9:06 a.m.