Description Usage Arguments Details Value Author(s) References See Also Examples

Returns a vector of the eigenvalues of the companion coefficient matrix.

1 |

`x` |
An object of class ‘ |

`modulus` |
Logical, set to |

Any VAR(p)-process can be written in a first-order vector autoregressive form: the companion form. A VAR(p)-process is stable, if its reverse characteristic polynomial:

*
\det(I_K - A_1 z - \cdots - A_p z^p) \neq 0 \; \hbox{for} \; |z| ≤ 1
\; ,
*

has no roots in or on the complex circle. This is equivalent to the
condition that all eigenvalues of the companion matrix *A* have
modulus less than 1. The function `roots()`

, does compute the
eigen values of the companion matrix *A* and returns by default
their moduli.

A vector object with the eigen values of the companion matrix, or their moduli (default).

Bernhard Pfaff

Hamilton, J. (1994), *Time Series Analysis*, Princeton
University Press, Princeton.

LÃ¼tkepohl, H. (2006), *New Introduction to Multiple Time Series
Analysis*, Springer, New York.

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cheaton/vars2 documentation built on Oct. 1, 2018, 12:22 a.m.

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