R: Extract Log-Likelihood
logLik.nlVar | R Documentation |
Extract Log-Likelihood
Description
Log-Likelihood method for VAR models.
Usage
## S3 method for class 'nlVar'
logLik(object, ...)
Arguments
object |
object of class VAR computed by lineVar .
|
... |
additional arguments to logLik .
|
Details
The Log-Likelihood is computed as in Luetkepohl (2006) equ. 3.4.5 (p. 89) and
Juselius (2006) p. 56:
LL = -(TK/2) log(2π) - (T/2) log|Σ| - (1/2) ∑^{T} ≤ft [
(y_t - A^{'}x_t)^{'} Σ^{-1} (y_t - A^{'}x_t)
ight ]
Where
Σ is the Variance matrix of residuals, and x_t is the matrix
stacking the regressors (lags and deterministic).
However, we use a computationally simpler version:
LL = -(TK/2) log(2π) - (T/2) log|Σ| - (TK/2)
See Juselius (2006), p. 57.
(Note that Hamilton (1994) 11.1.10, p. 293 gives + (T/2)
log|Σ^{-1}|, which is the same as -(T/2) log|Σ|).
Value
Log-Likelihood value.
Author(s)
Matthieu Stigler
References
Hamilton (1994) Time Series Analysis, Princeton University
Press
Juselius (2006) The Cointegrated VAR model: methodology and
Applications, Oxford Univesity Press
Luetkepohl (2006) New Introduction to Multiple Time Series Analysis,
Springer
Examples
data(zeroyld)
data<-zeroyld
#Fit a VAR
VAR<-lineVar(data, lag=1)
logLik(VAR)
Results
|