Get_llk: Compute the log-likelihood function
| Get_llk | R Documentation |
Compute the log-likelihood function
Description
Compute the log-likelihood function
Usage
Get_llk(P, Y, Z, N, mat, We, Wpca, K0Z, K1Z, SSZ, LoadBs, LoadAs, ModelType)
Arguments
P |
time-series of spanned factors (N x T or CN x T) |
Y |
time-series of yields (J x T or CJ x T) |
Z |
time-series of risk factors (F x T) |
N |
number of country-specific spanned factors |
mat |
vector of maturities (in years) of yields used in estimation (J x 1) |
We |
matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ) |
Wpca |
matrix of weights of the portfolios observed without errors (N x J or CN x CJ) |
K0Z |
matrix of intercepts (P-dynamics) |
K1Z |
feedback matrix (P-dynamics) |
SSZ |
variance-covariance matrix (P-dynamics) |
LoadBs |
list containing the B loadings |
LoadAs |
list containing the A loadings |
ModelType |
string-vector containing the label of the model to be estimated |
