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phi_1
2007 Apr 10
1
Testing invertibility of an AR model
...method in R for testing whether
the resulting estimated coefficients
of an AR model imply that the model is invertible.
To quote from eric zivot's blue book :
" the AR(p) is invertible provided the rots of the characteristic
equation
Phi(z) = 1 - phi_1*z - phi_2*z^2 = phi_3*z^3 - ..... Phi_p*z^p = 0 lie
outside
the complex circle".
I can't find a function nor do I know how to do the above myself. I
think there is an equivalent method in which
I can check whether the eigenvalues of some dual equation ( I forget
what it is ) are less than one but I don't
remember exactly...