Log-Likelihood method
Returns the log-Likelihood of a VAR, level-VECM, SVAR or SVEC object.
## 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, ...)
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.
data(Canada) var.2c <- VAR(Canada, p = 2, type = "const") logLik(var.2c)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.