Find the FPE of a VAR model

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Nic Whitman
Nic Whitman on 26 Mar 2021
Edited: Nic Whitman on 3 Apr 2021
I am trying to find the optimal lag of a VAR model using the FPE. I am using the varm() command which creates a '1x1 varm' object as output. I am able to extract both the AIC and BIC from this object, but it does not calculate the FPE. Is there a way to find the FPE for an object that doesn't automatically calculate it?
EDIT: THIS IS NOT POSSIBLE. YOU CAN CODE YOUR OWN FPE USING THE COVARIANCE MATRIX PRODUCED BY ESTIMATE OF A VARM OBJECT

Answers (1)

Mahesh Taparia
Mahesh Taparia on 31 Mar 2021
Hi
You can refer to the 'varm'object functions here. Use 'estimate' method to fit a model to data and 'summarize' to display the estimated result, which will display the error as well. You can have a look at an example here.
  1 Comment
Nic Whitman
Nic Whitman on 3 Apr 2021
The estimate function does not produce the FPE. I figured out how to code it myself.

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