Hsiao Akaike's Final Prediction error (FPE)
Posted: 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
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