# logLik: Log-Likelihood method In cheaton/vars2: VAR Modelling

## Description

Returns the log-Likelihood of a VAR, level-VECM, SVAR or SVEC object.

## Usage

 1 2 3 4 5 6 7 8 ## S3 method for class 'varest' logLik(object, ...) ## S3 method for class 'vec2var' logLik(object, ...) ## S3 method for class 'svarest' logLik(object, ...) ## S3 method for class 'svecest' logLik(object, ...) 

## Arguments

 object An object of class ‘varest’, generated by VAR(); or an object of class ‘vec2var’, generated by vec2var(); or an object of class ‘svarest’, generated by either SVAR() or an object of class ‘svecest’, generated by SVEC(). ... Currently not used.

## Details

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)

## Value

An object with class attribute logLik.

Bernhard Pfaff

## References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

LÃ¼tkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

VAR, vec2var, SVAR, SVEC
 1 2 3 data(Canada) var.2c <- VAR(Canada, p = 2, type = "const") logLik(var.2c)