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VARResults.is_stable()

statsmodels.tsa.vector_ar.var_model.VARResults.is_stable

VARResults.is_stable(verbose=False)

Determine stability based on model coefficients

Parameters:

verbose : bool

Print eigenvalues of the VAR(1) companion

Notes

Checks if det(I - Az) = 0 for any mod(z) <= 1, so all the eigenvalues of the companion matrix must lie outside the unit circle

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.is_stable.html

doc_statsmodels

2017-01-18 16:21:54

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