chowlin_likelihood: Likelihood function from Chow-Lin or Litterman temporal disaggregation.
Description
Used in disaggregation.R to find estimates of the optimal rho parameter.
Usage
chowlin_likelihood(Y, X, vcov)
Arguments
Y
The low-frequency response series (n_l x 1 matrix).
X
The aggregated high-frequency indicator series (n_l x p matrix).
vcov
Aggregated variance-covariance matrix of Chow-Lin or Litterman residuals.