More specifically. I know that a condition for a VAR(p) process to be stable (weakly stationary) is that the companion form of the equation (see AWESOME Pfaff book analysis of integrated and cointegrated time series in R) as eigenvalues of modulus <1.
My problem is that I want to generate such processes... When I try to generate random VAR(p) processes they seems to explode (clearly they are not weakly stationary...) Is there a way somebody know? -- View this message in context: http://r.789695.n4.nabble.com/simulating-stable-VAR-process-tp4261177p4261210.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
