VARshrink (version 0.3.3)

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, ...)

Value

log-likelihood of the fitted VAR model, with the class

attribute "logLik" and the attributes df and nobs.

Arguments

object

An object of class "varshrinkest"

...

Currently not used.

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
logLik(estim)