Cointegrated VAR in Companion Form
Posted: Wed May 16, 2012 7:52 am
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
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