In order to determine the right time lag for the Granger causality test, I applied a cross correlation function (CCF) among EU and National legislation and the CCF figure is attached. I would be grateful if you could kindly help me in resolving the following concerns:
- I am wondering what time-lag you recommend based on the attached figure?
- To find the greatest value in CCF figure, should I consider absolute values or just the raw values?
- If we consider the negative values in CCF Figure, then I assume the result of Granger causality test would show the negative causality, correct?
- I am interested in one side of the causality (Effect of EU on National and Not the vice versa), so, should I only consider the bound [-5...0]?