I have following question:
When running the
ccf command in R, I retrieve results for the cross-correlation of two time series. The data is monthly data, 54 observations, i.e. 5 years. Though the time series are stationary, I assume it's wrong to make a "normal" corr() analysis.
The Autocorrelation results of ccf (ACF) yield that there's a significant correlation at lag 3. That also somehow resonates with results I later find in an impulse response.
However, when applying
VARSelect, I wonder why the proposed lag is ranging from 1 to 11 across variables. Shouldn't ACF somehow correspond with information criteria (AIC, BIC), or is the proposed optimum lag length totally independent from autocorrelation?