I think that you must approach this in a different way. 1 Draw a set of random eigenvalues with modulus < 1 2 Draw a set of random eigenvalues vectors. 3 From these you can, with some matrix manipulations, derive the corresponding Var coefficients.
If your original coefficients were drawn at random I suspect that the VAR would not be stable. I am curious about what you are trying to do. John On Friday, 13 January 2012, statquant2 <statqu...@gmail.com> wrote: > Hello Paul > Thanks for the answer but my point is not how to simulate a VAR(p) process > and check that it is stable. > My question is more how can I generate a VAR(p) such that I already know > that it is stable. > > We know a condition that assure that it is stable (see first message) but > this is not a condition on coefficients etc... > What I want is > generate say a 1000 random VAR(3) processes over say 500 time periods that > will be STABLE (meaning If I run stability() all will pass the test) > > When I try to do that it seems that none of the VAR I am generating pass > this test, so I assume that the class of stable VAR(p) is very small > compared to the whole VAR(p) process. > > > > -- > View this message in context: http://r.789695.n4.nabble.com/simulating-stable-VAR-process-tp4261177p4291835.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- John C Frain Economics Department Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:fra...@tcd.ie mailto:fra...@gmail.com [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
