Granger Causality Lag Length

[menykeko]

I really need assistance on how to select the appropriate lag length to estimate the Granger causality for two variables.
Any help would be appreciated.

Thanks in advance

[TomDoan]

I would use @VARLAGSELECT to pick the lag length appropriate for the 2 variable VAR.

[menykeko]

Dear Tom,
Thanks for your very quick reply.
What information criterion would you recommend?

[TomDoan]

Probably AIC. For your purposes, you don't want SBC since it might cut off too many lags.