I have a list of market indices (like 20 indices) and want to analyse which indices are the most important for prediction of CDS of a company.
Most of the time series are I(1) processes. I was using Christoph Pfeiffer R code to test Granger causality for each market index and CDS.
I found that some indices Granger-cause CDS and some indices are cointegrated with CDS.
My next step is to perform Wald test on a more complicated VAR model with several market indices. I still need to understand how to do this (the series are not stationary). Here the list of questions I have:
Can I exclude market indices from the multivariate model, if in the bivariate models these indices do not Granger-cause CDS?
Can I compare market indices based on bivariate Granger test results?
How to select lags in the multivariate model for each variable?