logLik.varshrinkest: Log-likelihood method for class "varshrinkest"

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Log-likelihood method for class "varshrinkest"

Description

Returns the log-likelihood of a VAR model estimated by VARshrink(). It extends vars::logLik.varest() to incorporate 1) multivariate t-distribution for residuals, 2) scale matrix Sigma provided by shrinkage methods, and 3) effective number of parameters provided by shrinkage methods.

Usage

## S3 method for class 'varshrinkest'
logLik(object, ...)

Arguments

object	An object of class "varshrinkest"
...	Currently not used.

Value

log-likelihood of the fitted VAR model, with the class attribute "logLik" and the attributes df and nobs.

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
logLik(estim)

VARshrink documentation built on Jan. 10, 2026, 1:06 a.m.