Log-Likelihood method

Description

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

Usage

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

Arguments

Details

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 / SVEC 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)

Value

An object with class attribute logLik.

Author(s)

Bernhard Pfaff

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)