MS_Var_Likelihood {MSVAR}R Documentation

Likelihood Function for Markov Switching VAR

Description

MS_Var This is the likelihood function for the Markov Switching VAR which is minimized by nlminb.

Usage

MS_Var_Likelihood(params)

Arguments

params A Vector of Initial Parameter estimates

Value

a scalar:

LL sum of log likelihood for the model

Author(s)

James Eustace james.eustace@omam.co.uk


[Package MSVAR version 0.0 Index]