# Using ADF for Granger Test Order Selection

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.

• I had read Dave Giles blog. To choose the order for 'm' per Dave, "both of the series are I(n) when we apply the ADF and KPSS tests, allowing for a drift and trend in each series. So, m = n." In my case: > adf.test(data_1, alternative = c("stationary", "explosive"), + k = trunc((length(data_1)-1)^(1/3))) Augmented Dickey-Fuller Test data: data_1 Dickey-Fuller = -6.4426, Lag order = 8, p-value = 0.01 alternative hypothesis: stationary – MattCrow Sep 6 '16 at 13:07