Compute FPE of VAR(p) and VHAR
FPE(object, ...)# S3 method for varlse
FPE(object, ...)
# S3 method for vharlse
FPE(object, ...)
FPE value.
Model fit
not used
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
$$FPE(p) = (\frac{n + k}{n - k})^m \det \tilde{\Sigma}_e$$
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.