logLik {vars} | R Documentation |
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
object |
An object of class ‘ |
... |
Currently not used. |
Details
The log-likelihood of a VAR or level-VECM model is defined as:
and for a SVAR / SVEC model the log-likelihood takes the form of:
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
Examples
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
logLik(var.2c)
[Package vars version 1.6-1 Index]