I am trying to understand how to identify lag length to use for a Granger Causality test. The process as I understand it is:
- Use an information criterion such as AIC or BIC to calculate the number of lags to use for each time series.
- Choose the larger of the two lags.
I am having trouble understanding how you do step 1 of this process. I program in Python, and am trying to implement this process into code.