var_specrad
Calculate VAR spectral radius
Syntax
rho = var_specrad(A) [A,rho]= var_specrad(A,newrho)
Arguments
See also Common variable names and data structures.
input
A VAR coefficients matrix newrho new VAR spectral radius
output
A VAR coefficients matrix rho VAR spectral radius
Description
First form: return the spectral radius rho for a VAR process with coefficients matrix A. May be used for unit root test (i.e. need rho < 1).
Second form:, a new value newrho for the spectral radius is supplied and the coefficients A are "decayed" (see function var_decay) so that the new value of the spectral radius becomes newrho. The new coefficients and old value of the spectral radius are returned. Note: newrho may be negative, but newrho < 1 is required for the new coefficients to specify a stable process.