piar2unit.block: Function to compute the coefficients of periodic integrated...

In YueyunZhu/UnitRootsofPIAR: Eliminate unit roots for periodically integrated autoregressive models

Description

Function to compute the coefficients of periodic integrated filter. Assume there are two block unit roots in the process.

Usage

piar2unit.block(Xsim, d = 4)

Arguments

Xsim	similarity matrix for Jordan decomposition of the multi-companion matrix F
d	period

Value

coefficients of $(1-\beta_sL)(1-\alpha_sL)$

Examples

library(mcompanion)
Fd <- sim_mc(dim = 4, mo = 4, mo.col = 2, eigval = c(1), len.block = c(2))
icoef <- piar2unit.block(Xsim = Fd$eigvec, d = 4)

YueyunZhu/UnitRootsofPIAR documentation built on Feb. 13, 2020, 12:32 a.m.