Description Usage Arguments Details Value Author(s) References See Also Examples
Returns the log-Likelihood of a VAR, level-VECM, SVAR or SVEC object.
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object |
An object of class ‘ |
... |
Currently not used. |
The log-likelihood of a VAR or level-VECM model is defined as:
\log l = - \frac{K T}{2} \log 2 π - \frac{T}{2} \log |Σ_u| - \frac{1}{2} tr (U Σ^{-1}_u U')
and for a SVAR / SVEC model the log-likelihood takes the form of:
\log l = - \frac{K T}{2} \log 2 π + \frac{T}{2} \log |A|^2 - \frac{T}{2} \log |B|^2 - \frac{T}{2} tr (A'B'^{-1}B^{-1}AΣ_u)
An object with class attribute logLik
.
Bernhard Pfaff
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
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