Add log-likelihood draws to output of submodel_test_statistics

R/select_submodels.R

@@ -90,13 +90,13 @@ select_submodels <- function(object, ic = "BIC", select = "order", teststats = N
 
   # Obtain test statistics
   if (is.null(teststats)) {
-    criteria <- submodel_test_statistics(object) 
+    criteria <- submodel_test_statistics(object)[["teststats"]]
   } else {
     # Basic checks
     if (length(teststats) != length(unique(names(object)))) {
       stop("Number of countries in argument 'object' differs from number of countries in argument 'teststats'.")
     }
-    criteria <- teststats
+    criteria <- teststats[["teststats"]]
   }
   names_object <- names(object)
 

R/submodel_test_statistics.R

@@ -21,7 +21,7 @@
 #' \eqn{M} the number of global variables, \eqn{s} the number of lags of global variables,
 #' \eqn{N} the number of deterministic terms and \eqn{T} the number of observations.
 #'
-#' @return A data frame.
+#' @return A list.
 #' 
 #' @examples
 #' # Load data
@@ -96,6 +96,8 @@ submodel_test_statistics <- function(object, ...){
                           HQ = rep(NA, n_models),
                           stringsAsFactors = FALSE)
 
+  loglik <- list()
+
   for (i in 1:n_models) {
 
     teststats[i, "ctry"] <- names(object)[i]
@@ -229,6 +231,10 @@ submodel_test_statistics <- function(object, ...){
       LL[, j] <- bvartools::loglik_normal(u, sigma)
     }
 
+    if (keep_ll) {
+      loglik[[i]] <- LL
+    }
+
     ll <- sum(rowMeans(LL))
     teststats[i, "LL"] <- ll
     teststats[i, "AIC"] <- 2 * tot_pars - 2 * ll
@@ -243,10 +249,13 @@ submodel_test_statistics <- function(object, ...){
   result <- NULL
   ctry_names <- unique(teststats[, "ctry"])
   for (i in 1:length(ctry_names)) {
-    result[[i]] <- teststats[teststats[, "ctry"] == ctry_names[i], -1]
-    rownames(result[[i]]) <- NULL
+    result[[i]][["teststats"]] <- teststats[teststats[, "ctry"] == ctry_names[i], -1]
+    rownames(result[[i]][["teststats"]]) <- NULL
     names(result)[i] <- ctry_names[i]
   }
 
+  result <- list(teststats = teststats,
+                 loglik = loglik)
+
   return(result)
 }