Do not know why that is not supported, but there might be a good reason. 

However log-lik is this. Check if I have not made a mistake.

logLikLm <- function(obj){
E <- obj$residuals
S <- cov(E)
Sinv <- solve(S)
n <- nrow(E)
p <- ncol(E)
- n*p / 2 * log(2*pi) - n/2 * log(det(S)) - 1/2 * sum(diag(E %*% Sinv %*% t(E)))
}





Kind regards,-- 
Dominykas Grigonis


On Saturday, 19 April 2014 at 20:02, fernando wrote:

> Please,
> I am running a multiple regression
> on assets excess returns on mkt excess returns.
> I would like to get the AIC from these regressions
> and the response was
> 
> Error in logLik.lm(object) : 
> 'logLik.lm' does not support multiple responses
> 
> Does anyone could help me with this issue?
> Thanks
> Fernando
> 
> 
> 
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