I am trying to do a Granger causality test. In the general form Granger causality analysis includes estimating the following equation:
$$y_{t}=a_{1}y_{t-1}+a_{2}y_{t-2}+\dotsc+a_{p}y_{t-p}+b_{1}x_{t-1}+b_{2}x_{t-2}+\dotsc+b_{q}x_{t-q}+e_{t}.$$
It is not necessary that $p=q$, so we can choose different values for $p$ and $q$ (using information criteria such as AIC or BIC). However, EViews forces $p=q$, look here.
Questions:
- Is it possible to choose different lag values $p\neq q$ in Eviews?
- Doesn't the lack of the ability to choose a lag contradict the theoretical background of Granger causality?