MARX (version 0.2)

ll.max: The value of the t-log-likelihood for MARX function

Description

This function allows you to determine the value of the t-log-likelihood for the MARX model.

Usage

ll.max(params, y, x, p_C, p_NC)

Arguments

params

List of parameters.

y

Data vector of time series observations.

x

Matrix of data (every column represents one time series). Specify NULL or "not" if not wanted.

p_C

Number of lags.

p_NC

Number of leads.

Value

neg.loglikelihood

Minus the loglikelihood.

Examples

# NOT RUN {
data <- sim.marx(c('t',1,1), c('t',1,1),100,0.5,0.4,0.3)
y <- data$y
x <- data$x
p_C <- 1
p_NC <- 1
params <- c(0.5,0.4,0.3,0,1,1)
ll.max(params,y,x,p_C,p_NC)
# }