logLik.varshrinkest: Log-likelihood method for class "varshrinkest"
Description
Returns the log-likelihood of a VAR model estimated by VARshrink().
It extends vars::logLik.varest() to incorporate
1) multivariate t-distribution for residuals,
2) scale matrix Sigma provided by shrinkage methods, and
3) effective number of parameters provided by shrinkage methods.
Usage
# S3 method for varshrinkest
logLik(object, ...)
Arguments
object
An object of class "varshrinkest"
...
Currently not used.
Details
Acknowledgement: This code was contributed by
Sung-Hoon Han & Dong-Han Lee @ Kangwon National University (2018.11.29.)