| logLik {vars} | R Documentation |
Returns the log-Likelihood of a VAR, level-VECM or SVAR object.
## S3 method for class 'varest': logLik(object, ...) ## S3 method for class 'vec2var': logLik(object, ...) ## S3 method for class 'svarest': logLik(object, ...)
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
SVAR2(). |
... |
Currently not used. |
The log-likelihood of a VAR or level-VECM model is defined as:
log l = - frac{K T}{2} log 2 π - frac{T}{2} |Σ_u| - frac{1}{2} tr (U Σ^{-1}_u U')
and for a SVAR-model the log-likelihood takes the form of:
log l = - frac{K T}{2} log 2 π + frac{T}{2} log |A|^2 - frac{T}{2} log |B|^2 - frac{T}{2} tr (A'B'^{-1}B^{-1}AΣ_u)
An object with class attribute logLik.
Bernhard Pfaff
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
data(Canada) var.2c <- VAR(Canada, p = 2, type = "const") logLik(var.2c)