get_boldA_eigens function

Calculate absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients

get_boldA_eigens calculates absolute values of the eigenvalues of the "bold A" matrices containing the AR coefficients for each regime.

get_boldA_eigens(stvar)

Arguments

• stvar: object of class "stvar"

Returns

Returns a matrix with $d*p$ rows and $M$ columns - one column for each regime. The $m$th column contains the absolute values (or modulus) of the eigenvalues of the "bold A" matrix containing the AR coefficients correspinding to regime $m$.

References

• Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis, Springer.