I have a question related to Granger Causality testing.
Is it okay to use a lag-length of
lag=1 in my Granger-test? The optimum lag length selection in my R
VARselect(data,lag=maxlag,type=trend) model says that
lag=1 shows the best and most stable information criteria values according to AIC, BIC and FPE.
I have a 30-year set of quarterly data and I'm using a
maxlag of 4.