Get_llk function

Compute the log-likelihood function

Get_llk(P, Y, Z, N, mat, We, Wpca, K0Z, K1Z, SSZ, LoadBs, LoadAs, ModelType)

Arguments

• P: time-series of spanned factors (N x T or CN x T)
• Y: time-series of yields (J x T or CJ x T)
• Z: time-series of risk factors (F x T)
• N: number of country-specific spanned factors
• mat: vector of maturities (in years) of yields used in estimation (J x 1)
• We: matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ)
• Wpca: matrix of weights of the portfolios observed without errors (N x J or CN x CJ)
• K0Z: matrix of intercepts (P-dynamics)
• K1Z: feedback matrix (P-dynamics)
• SSZ: variance-covariance matrix (P-dynamics)
• LoadBs: list containing the B loadings
• LoadAs: list containing the A loadings
• ModelType: string-vector containing the label of the model to be estimated