R: Log-Likelihood method

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 ‘`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.

### 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} \log |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)

[Package vars version 1.5-3 Index]