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Community Bot
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The question here is really about the best way to select lag length for a VAR, as I noted in this answerthis answer. Granger causality doesn't even enter into it until your model for the time series is selected, which is why you may not see many papers specifically concerned with lag order for Granger causality tests. It's more about lag order selection for vector autoregressive models. I'd take a look at this paper for a relatively recent reference on which criteria (AIC, BIC, SIC, HQC) are most appropriate, though they may largely agree for your application.

The question here is really about the best way to select lag length for a VAR, as I noted in this answer. Granger causality doesn't even enter into it until your model for the time series is selected, which is why you may not see many papers specifically concerned with lag order for Granger causality tests. It's more about lag order selection for vector autoregressive models. I'd take a look at this paper for a relatively recent reference on which criteria (AIC, BIC, SIC, HQC) are most appropriate, though they may largely agree for your application.

The question here is really about the best way to select lag length for a VAR, as I noted in this answer. Granger causality doesn't even enter into it until your model for the time series is selected, which is why you may not see many papers specifically concerned with lag order for Granger causality tests. It's more about lag order selection for vector autoregressive models. I'd take a look at this paper for a relatively recent reference on which criteria (AIC, BIC, SIC, HQC) are most appropriate, though they may largely agree for your application.

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jayk
jayk
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The question here is really about the best way to select lag length for a VAR, as I noted in this answer. Granger causality doesn't even enter into it until your model for the time series is selected, which is why you may not see many papers specifically concerned with lag order for Granger causality tests. It's more about lag order selection for vector autoregressive models. I'd take a look at this paper for a relatively recent reference on which criteria (AIC, BIC, SIC, HQC) are most appropriate, though they may largely agree for your application.