Check stationarity of an NMF-VAR model

Source: R/nmfkc.R

nmfkc.ar.stationarity assesses the dynamic stability of a VAR model by computing the spectral radius of its companion matrix. It returns both the spectral radius and a logical indicator of stationarity.

nmfkc.ar.stationarity(x)

Arguments

x

The return value of nmfkc for a VAR model.

Value

A list with components:

spectral.radius

Numeric. The spectral radius of the companion matrix. A value less than 1 indicates stationarity.

stationary

Logical. TRUE if the spectral radius is less than 1 (i.e., the system is stationary), FALSE otherwise.

See also

nmfkc, nmfkc.ar