Find the FPE of a VAR model
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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