MEM_MIDAS_loglik_no_skew {rumidas} | R Documentation |
MEM-MIDAS log-likelihood (no skewness parameter)
Description
Obtains the log-likelihood of the MEM-MIDAS.
Usage
MEM_MIDAS_loglik_no_skew(param, x, mv_m, K)
Arguments
param |
Vector of starting values |
x |
Dependent variable, usually the realized volatility. It must be positive and "xts" object |
mv_m |
MIDAS variable already transformed into a matrix, through |
K |
Number of (lagged) realizations of the MIDAS variable to consider |
Value
The resulting vector is the log-likelihood value for each i,t
References
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See Also
Examples
start_val<-c(alpha=0.10,beta=0.8,m=0,theta=-0.16,w2=5)
real<-(rv5['/2010'])^0.5 # realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_loglik_no_skew(start_val,real,mv_m,K=12))
[Package rumidas version 0.1.3 Index]