is_stable

is_stable(model::Union{VAR,SVAR}) -> Bool
is_stable(C::AbstractMatrix) -> Bool

Checks whether a VAR model or a companion matrix corresponds to a stable VAR process.

A VAR system is stable if all eigenvalues of its companion matrix lie strictly inside the unit circle. This is equivalent to requiring that the spectral radius is less than one:

\[ \rho(C) = \max_i |\lambda_i| < 1 \]

Arguments

  • model::VAR: A fitted VAR model
  • C::AbstractMatrix: A companion matrix

Returns

  • Bool: true if the VAR is stable, false otherwise