logLik.varshrinkest {VARshrink} | R Documentation |
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.
## S3 method for class 'varshrinkest'
logLik(object, ...)
object |
An object of class "varshrinkest" |
... |
Currently not used. |
Acknowledgement: This code was contributed by Sung-Hoon Han & Dong-Han Lee @ Kangwon National University (2018.11.29.)
data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
logLik(estim)