Cointegrated VAR in Companion Form

[Max2004]

Hi there,

I am trying to write up the Companion Form of a Cointegrated VAR model. It is based on a VAR(2) and has r = 1, i.e. a cointegration rank of 1. The dimension of the system is 2, i.e. I have prices and dividends in the vector X.

I am able to get the program (PcGive) to compute a total of 4 eigenvalues when choosing "Roots of Companion Matrix". However, I am unsure how to do this manually (which is necessary for my coding to function properly) and I cannot export the "point-and-click" version directly into my code.

Would anyone happen to know how to compute the Companion matrix for this situation?

Best regards,

Max