FCVAR (version 0.1.4)

GetCharPolyRoots: Roots of the Characteristic Polynomial

Description

GetCharPolyRoots calculates the roots of the characteristic polynomial and plots them with the unit circle transformed for the fractional model, see Johansen (2008). summary.FCVAR_roots prints the output of GetCharPolyRoots to screen.

Usage

GetCharPolyRoots(coeffs, opt, k, r, p)

Arguments

coeffs

A list of coefficients for the FCVAR model. An element of the list of estimation results output from FCVARestn.

opt

An S3 object of class FCVAR_opt that stores the chosen estimation options, generated from FCVARoptions().

k

The number of lags in the system.

r

The cointegrating rank.

p

The number of variables in the system.

Value

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.

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(), MVWNtest(), plot.FCVAR_roots(), summary.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)
# }