logLik.VLSTAR {starvars}

Log-Likelihood method

Description

Returns the log-Likelihood of a VLSTAR object.

Usage

## S3 method for class 'VLSTAR'
logLik(object, type = c('Univariate', 'Multivariate'), ...)

Arguments

object

An object of class ‘VLSTAR’ obtained through VLSTAR().

type

Type of Log-Likelihood to be showed (univariate or multivariate).

...

further arguments to be passed to and from other methods

Details

The log-likelihood of a VLSTAR model is defined as:

\log l(y_t|I_t;\theta)=-\frac{T\tilde{n}}{2}\ln(2\pi)-\frac{T}{2}\ln|\Omega|-\frac{1}{2}\sum_{t=1}^{T}(y_t-\tilde{G}_tB\,z_t)'\Omega^{-1}(y_t-\tilde{G}_tB\,z_t)

Value

An object with class attribute logLik.

Author(s)

Andrea Bucci

See Also

VLSTAR