Check the stationarity of a fitted VAR-LiNGAM model

Recovers the reduced-form VAR coefficients M_k = (I - B0)^{-1} B_k from the structural matrices and inspects the eigenvalues of the VAR companion matrix. The process is stationary when every eigenvalue lies strictly inside the unit circle (all moduli < 1); a modulus on or outside it signals a (near-)unit root, under which the VAR-LiNGAM estimates are unreliable.

Usage

check_var_stationarity(result, tol = 1)

Arguments

result

a VARLiNGAMResult from lingam_var()

tol

stationarity threshold for the eigenvalue moduli (default 1)

Value

a var_stationarity object (list) with moduli (sorted descending), max_modulus, is_stationary (logical), lags, and tol.

References

Stationarity diagnostics in the spirit of the VARLiNGAM R code of Moneta, A., Entner, D., Hoyer, P. O., & Coad, A. (2013), Oxford Bulletin of Economics and Statistics, 75(5), 705-730. https://sites.google.com/site/dorisentner/publications/VARLiNGAM

Examples

s <- generate_varlingam_sample(n = 1000, seed = 42)
m <- lingam_var(s$data, lags = 1, reg_method = "ols", prune = FALSE)
check_var_stationarity(m)
#> === VAR Stationarity Check ===
#> Lag order:         1
#> Max |eigenvalue|:  0.5038  (threshold 1.00)
#> Stationary:        YES