pmpp (version 0.1.1)

loglikelihood_QMLE: Produce (negative) log marginal likelihood for QMLE with correlated random coefficients

Description

Produce (negative) log marginal likelihood for QMLE with correlated random coefficients

Usage

loglikelihood_QMLE(param, n_alpha, X_mat, Y_mat, Z_mat, W, T, N, aux_Y0)

Arguments

param

vectores of parameters to optimize over

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