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Granger Causality Lag Length
Posted: Fri Jun 26, 2015 8:44 am
by 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
Re: Granger Causality Lag Length
Posted: Fri Jun 26, 2015 9:25 am
by TomDoan
I would use
@VARLAGSELECT to pick the lag length appropriate for the 2 variable VAR.
Re: Granger Causality Lag Length
Posted: Fri Jun 26, 2015 9:37 am
by menykeko
Dear Tom,
Thanks for your very quick reply.
What information criterion would you recommend?
Re: Granger Causality Lag Length
Posted: Fri Jun 26, 2015 10:26 am
by TomDoan
Probably AIC. For your purposes, you don't want SBC since it might cut off too many lags.