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logLik.bvar

Log-Likelihood method for Bayesian VARs


Description

Calculates the log-likelihood of Bayesian VAR models generated with bvar.

Usage

## S3 method for class 'bvar'
logLik(object, ...)

Arguments

object

A bvar object, obtained from bvar.

...

Not used.

Value

Returns an object of class logLik.

See Also

Examples

# Access a subset of the fred_qd dataset
data <- fred_qd[, c("CPIAUCSL", "UNRATE", "FEDFUNDS")]
# Transform it to be stationary
data <- fred_transform(data, codes = c(5, 5, 1), lag = 4)

# Estimate a BVAR using one lag, default settings and very few draws
x <- bvar(data, lags = 1, n_draw = 1000L, n_burn = 200L, verbose = FALSE)

# Calculate the log-likelihood
logLik(x)

BVAR

Hierarchical Bayesian Vector Autoregression

v1.0.1
GPL-3 | file LICENSE
Authors
Nikolas Kuschnig [aut, cre] (<https://orcid.org/0000-0002-6642-2543>), Lukas Vashold [aut] (<https://orcid.org/0000-0002-3562-3414>), Michael McCracken [dtc], Serena Ng [dtc]
Initial release
2020-09-26

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