Get Log Likelihood function equal to NaN when running VAR-estimation
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Hi, I'm fairly new to Matlab, so this might be a stupid question. I'm currently trying to estimate a small, easy VAR-model for economic forecasting. At the moment I have six variables, and 73 (quarterly) observations in the 73x6 matrix Data.
I first define the model, and since I want four lags the code looks as follows:
Spec=vgxset('n', 6, 'nAR', 4, 'Constant', true);
I then estimate the model:
[EstSpec, EstStdErrors, LLF, W] = vgxvarx(Spec, Data(5:end,:),[],Data(1:4,:));
I then want to check if the number of lags is sufficient, but all such test need the loglikelihood function LLF. However, when doing my estimation the LLF is just a single NaN-entry. Any thoughts about why this is so, and what I can do about it?
Thanks in advance! Karl
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