R/stable.R

In byrongibby/mfvarr: Estimate and forecast with mixed-frequency VARs

stable <-
function(coef, nvar, nlag, ndet, allow_ur=FALSE) {
  if(ndet > 0) { m1 <- array(t(coef[-(1:ndet),]), dim = c(nvar, nvar, nlag))
  } else { m1 <- array(t(coef), dim = c(nvar, nvar, nlag)) }
  m2 <- NULL
  for(i in 1:nlag) m2 <- cbind(m2, m1[,,i])
  m3 <- rbind(m2,cbind(diag(nvar*(nlag-1)), matrix(0,nvar*(nlag-1),nvar)) ) 
  if(allow_ur) { out <- max(abs(eigen(m3)$values)) <= 1 
  } else { out <- max(abs(eigen(m3)$values)) = 1 }
  out
}