loglikelihood_GMM: Produce negative log-likelihood in the GMM case

In pmpp: Posterior Mean Panel Predictor

Description

Produce negative log-likelihood in the GMM case

Usage

loglikelihood_GMM(theta, rho_GMMpar, alpha_GMMpar, sigma2_GMMpar, n_alpha,
  X_mat, Y_mat, Z_mat, W, T, N, aux_Y0)

Arguments

theta	vector of homogeneous parameters
rho_GMMpar	lagged dependent variables coefficient estimates from the GMM
alpha_GMMpar	external variables coefficient estimates from the GMM
sigma2_GMMpar	variance of the shocks estimated using GMM residuals
n_alpha	number of external variables
X_mat	lagged dependent variable matrix
Y_mat	dependent variable matrix
Z_mat	external variable matrix
W	cross-sectionally invariant variables - not used now
T	time dimension of the data
N	cross-sectional dimension of the data
aux_Y0	auxiliary matrix with initial observations of the dependent variable

pmpp documentation built on Oct. 30, 2019, 11:35 a.m.