Hello, I use the following proc to do cointegration test.
proc varmax data=Example_var;
model LM1 LIP TB3/ p=2 cointtest=(johansen=(normalize=LM1)) ;
run;
I got the following results:
Can anyone inform me how to estimate the log-likelihood? (I try the same data set in another software, but the log-likelihood is different. I'd like to know which one is the correct one.)
Thank You.
The definition of the log-likelihood that PROC VARMAX uses is shown in the SAS documentation for PROC VARMAX
It is sometimes difficult to compare LL across software products because you can drop constant terms when you optimize the LL. So if LL(x) = A + B*f(x), some software might use and report f(x) even though it isn't the full LL. Also, MLE methods depend on the optimization algorithms, convergence criteria, and initial guesses for the solution.
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