[R-SIG-Finance] [R-sig-finance] A VaR question

[RON70]

Hi all,

My problem seems to be bizzare, however I want to do like that. Here I have
estimated a VECM model from my dataset (seems not stationary) and once I
converted those into a VAR representation I have following estimates :

> A1; A2; A3; A4
     V1     V2     V3
1 0.985  0.283 -1.714
2 0.125  1.100 -1.491
3 0.071 -0.089  1.388
      V1     V2     V3
1  0.258 -0.493  1.459
2  0.252 -0.387  1.165
3 -0.057  0.076 -0.536
     V1     V2    V3
1 0.332 -0.459 0.251
2 0.482 -0.686 0.313
3 0.112 -0.104 0.218
      V1    V2     V3
1 -0.532 0.624 -0.006
2 -0.619 0.714 -0.044
3 -0.129 0.121 -0.069

Now I took them as an original DGP process and checked the solution of it's
ch. equation. I got following :

>  library(PolynomF)
>  z = polynom()
> 
> 
> p11 <- 1 - A1[1,1]*z - A2[1,1]*z^2 - A3[1,1]*z^3 - A4[1,1]*z^4
> p12 <- 0 - A1[1,2]*z - A2[1,2]*z^2 - A3[1,2]*z^3 - A4[1,2]*z^4
> p13 <- 0 - A1[1,3]*z - A2[1,3]*z^2 - A3[1,3]*z^3 - A4[1,3]*z^4
> 
> 
> p21 <- 0 - A1[2,1]*z - A2[2,1]*z^2 - A3[2,1]*z^3 - A4[2,1]*z^4
> p22 <- 1 - A1[2,2]*z - A2[2,2]*z^2 - A3[2,2]*z^3 - A4[2,2]*z^4
> p23 <- 0 - A1[2,3]*z - A2[2,3]*z^2 - A3[2,3]*z^3 - A4[2,3]*z^4
> 
> p31 <- 0 - A1[3,1]*z - A2[3,1]*z^2 - A3[3,1]*z^3 - A4[3,1]*z^4
> p32 <- 0 - A1[3,2]*z - A2[3,2]*z^2 - A3[3,2]*z^3 - A4[3,2]*z^4
> p33 <- 1 - A1[3,3]*z - A2[3,3]*z^2 - A3[3,3]*z^3 - A4[3,3]*z^4
> 
> p <- p11*(p22*p33 - p23*p32) - p12*(p21*p33 - p23*p31) + p13*(p21*p32 -
> p22*p31)
> 
> 
> abs(solve(p))
 [1] 1.521516 2.102119 2.102119 4.912478 4.912478 1.000233 1.000233 1.502034
1.502034 1.228100 2.536582 5.342635
> 

Now if I assume (upto a few significant digits) "1.000233 1.000233 " both
equal to "1" then, I am actually getting two unit roots here. Therefore I am
wondering how to tackle it as VAR is defined on max one unit root process. 

Am I missing anything? Can anyone please help me?

Best
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