[R] Testing invertibility of an AR model

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Tue Apr 10 06:09:47 CEST 2007

I've looked around but I can't find the 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

Phi(z) = 1 - phi_1*z - phi_2*z^2 = phi_3*z^3 - ..... Phi_p*z^p = 0 lie
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 what that equation is and , even if I did, I still
wouldn't know how to do it.

Maybe checking whether the absolute of the sum of the coefficients is
less than one is okay ?
I remember doing that in another life but I'm not sure if that's an
approximation or an actual test.

Thanks for any help.

This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}

More information about the R-help mailing list