Final Prediction Error Criterion

Compute FPE of VAR(p) and VHAR

Usage

FPE(object, ...)

# S3 method for class 'varlse'
FPE(object, ...)

# S3 method for class 'vharlse'
FPE(object, ...)

Arguments

object

Model fit

...

not used

Value

FPE value.

Details

Let \(\tilde{\Sigma}_e\) be the MLE and let \(\hat{\Sigma}_e\) be the unbiased estimator (covmat) for \(\Sigma_e\). Note that

$$\tilde{\Sigma}_e = \frac{n - k}{T} \hat{\Sigma}_e$$

Then

$$FPE(p) = (\frac{n + k}{n - k})^m \det \tilde{\Sigma}_e$$

References

Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.