pmpp (version 0.1.1)

loglikelihood_GMM: Produce negative log-likelihood in the GMM case

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