FCVAR (version 0.1.4)

summary.FCVAR_roots: 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 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.

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

# NOT RUN {
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)
# }