vars (version 1.6-1)

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, ...)

Value

An object with class attribute logLik.

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.

Author

Bernhard Pfaff

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.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

VAR, vec2var, SVAR, SVEC

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
logLik(var.2c)