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

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

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.

Details

Acknowledgement: This code was contributed by Sung-Hoon Han & Dong-Han Lee @ Kangwon National University (2018.11.29.)

Examples

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

VARshrink documentation built on Oct. 9, 2019, 5:06 p.m.