vars (version 1.5-3)

logLik: Log-Likelihood method

Description

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

Usage

# S3 method for varest
logLik(object, ...)
# S3 method for vec2var
logLik(object, ...)
# S3 method for svarest
logLik(object, ...)
# S3 method for 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.

Value

An object with class attribute logLik.

Details

The log-likelihood of a VAR or level-VECM model is defined as: $$ \log l = - \frac{K T}{2} \log 2 \pi - \frac{T}{2} \log |\Sigma_u| - \frac{1}{2} tr (U \Sigma^{-1}_u U') $$ and for a SVAR / SVEC model the log-likelihood takes the form of: $$ \log l = - \frac{K T}{2} \log 2 \pi + \frac{T}{2} \log |A|^2 - \frac{T}{2} \log |B|^2 - \frac{T}{2} tr (A'B'^{-1}B^{-1}A\Sigma_u) $$

References

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

L<U+34AE5C2F>hl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

VAR, vec2var, SVAR, SVEC

Examples

# NOT RUN {
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
logLik(var.2c) 
# }