Hsiao Akaike's Final Prediction error (FPE)

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terran190
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Joined: Fri Jan 29, 2010 10:11 am

Hsiao Akaike's Final Prediction error (FPE)

Postby terran190 » Sun Feb 28, 2010 11:19 pm

Hi,
I want to ask that in the formula for FPE lag consideration (FPE combining with Granger causality test), what does T stand for? Is it the intial sample size or is it the sample size after adjustment for the number of lag?

Formula: [T+ l11 +1]/[T-l11-1] x RSS(l11)/T

l11: lag order

Reference: S-H Yoo / Energy policy 34(2006) 3573- 3582

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