I am trying to do a Granger causality test. In the general form Granger causality analysis includes estimating the following equation:
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.
- 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?