get_boldA_eigens: Calculate absolute values of the eigenvalues of the "bold A"...

In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients

Description

get_boldA_eigens calculates absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients for each regime.

Usage

get_boldA_eigens(stvar)

Arguments

stvar

object of class "stvar"

Value

Returns a matrix with d*p rows and M columns - one column for each regime. The mth column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients correspinding to regime m.

References

• Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.

sstvars documentation built on April 11, 2025, 5:47 p.m.