I am comparing two time series with weekly data from 2005-2016, and wanted to see if one time series (x) predicts the other (y).
In selecting the 'order' of the Granger Test, I used the Augmented Dickey Fuller (ADF) test to find the "lag" order. The ADF was used to identify the alternative hypothesis as stationary with p < 0.05.
I then used this lag order for the Granger test order.
Am I going about this the right way?
A previous similar question is found here (below), but I thought mine was sufficiently different in that I am looking at a time series with 52 weeks/year.